Applying the skewness model on polish stock market

• Autorzy: Ewa Młynarczyk , Tomasz Węgrzyn
• Języki publikacji: EN

Abstrakty

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)

Słowa kluczowe

EN

Stochastic models; Stock market

PL

Modele stochastyczne; Giełda papierów wartościowych

• Czasopismo: Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2013
• Tom: Zastosowanie metod ilościowych w zarządzaniu ryzykiem w działalności inwestycyjnej
• Strony: 25--39

Twórcy

autor

Ewa Młynarczyk

• Uniwersytet Ekonomiczny w Katowicach

autor

Tomasz Węgrzyn

• Uniwersytet Ekonomiczny w Katowicach

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