Applying the skewness model on polish stock market
In the article the effectiveness of the Markowitz model and model considering skewness of returns and the investor's preferences (the Skewness model) is examined. The research is conducted using data originated from Warsaw Stock Exchange. There are 30 portfolios made up of 7 stocks optimized by means of both the Markowitz model and the Skewness model. Comparing the structure of each pair of portfolios it turns out there is no significant difference between the value of corresponding stocks. Moreover, the Skewness model, in comparison to the Markowitz model, reduces level of diversification. If, in case of the Markowitz model, there is a stock which little capital is invested in, then, in case of the Skewness model, that stock is almost exclude from the investment. (fragment tekstu)
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