Porównanie dwóch strategii dynamicznego zarządzania portfelem papierów wartościowych

• Autorzy: Tomasz Węgrzyn

Warianty tytułu

Comparison of Two Dynamic Strategies of Assets Allocation

• Języki publikacji: PL

Abstrakty

Celem artykułu jest zdefiniowanie dwóch strategii dynamicznego zarządzania portfelem (jednej wklęsłej a drugiej wypukłej) oraz zaprezentowanie sytuacji w której każda z tych strategii jest bardziej efektywna od przeciwstawnej strategii oraz od strategii kup i trzymaj. (fragment tekstu)

EN

In this article two dynamic strategies of assets allocation are presented. The first strategy is constant-mix strategy. In this strategy manager maintains an exposure to equities that is a constant proportion of his wealth. This strategy is dynamic because whenever the relative value of assets change, purchases and sales are required to return to the desired mix. This strategy is especially profitable when there is high volatility in the market, but when prices are changing in the same direction for a long time this strategy is less profitable than buy and hold strategy.
The second strategy is constant proportion portfolio insurance (CPPI). In this strategy the whole portfolio is divided into two parts. One part is invested in equities, while the second part is invested in bonds. When prices are rising bigger part of wealth is invested in equities. So under this strategy manager sells equities as their prices are falling and buy equities as their prices are rising. This strategy is especially profitable when prices are changing in the same direction for a long time, but when there is high volatility in the market it makes loss. (original abstract)

Słowa kluczowe

PL

Portfel papierów wartościowych

EN

Portfolio securities

• Czasopismo: Prace Naukowe Akademii Ekonomicznej we Wrocławiu
• Rocznik: 2006
• Numer: nr 1133 Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek
• Strony: 548--556

Twórcy

autor

Tomasz Węgrzyn

• Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach

Bibliografia

• Black F., Jones R., Simplifying Portfolio Insurance, "Journal of Portfolio Management", New York, Fali 1987, vol. 14, iss. 1, s. 48.
• Black F., Jones R., Simplifying Portfolio Insurance for Corporate Pension Plans, "Journal of Portfolio Management", New York, Summer 1988, vol. 14, iss. 4, s. 33.
• Hakanoglu E., Kopprasch R., Roman E., Constant Proportion Portfolio Insurance for Fixed-Income Investment, "Journal of Portfolio Management", New York, Summer 1989, vol. 15, iss. 4, s. 58.
• Perold A.F., Sharpe W.F., Dynamic Strategies for Asset Allocation, "Financial Analysts Journal", January/February 1988, vol. 44, iss. 1, s. 16.
• Trippi R.R., Harriff R.B., Dynamic Asset Allocation Rules: Survey and Synthesis, "Journal of Portfolio Management", New York, Summer 1991, vol. 17, iss. 4, s. 19.