The Management of Prediction Method in the System of Investment Decisions Making

• Autorzy: Antoni Wiliński , Izabela Rejer
• Języki publikacji: EN

Abstrakty

EN

The aim of the paper is to find a method of using prediction rules in time series in such a way to maximize the profit considering the risk. To deal with this task, a regression approach to prediction was chosen. Hence, the paper refers to relation between autoregression of a chosen time series and investment strategies. The time series under consideration is the most important polish financial instrument, a future contract on WIG20. Usually, it is rather easy to prove statistically that the autoregression of a single time series cannot be considered as an effective method for forecasting WIG20 quotations for investment purpose. However, the authors find the relation between the autoregression (and also multi-regression) and real future values of WIG20 which can be the source of effective strategies. The paper presents both - the theoretical description of the proposed strategies and results of their application for monthly data of WIG20, unemployment rate and money supply in Poland (data from years 1995-2007).(original abstract)

Słowa kluczowe

EN

Investment strategy; Long-term financial forecast; Decision Support Systems (DSS)

PL

Strategia inwestycyjna; Wieloletnia prognoza finansowa; Systemy wspomagania decyzji

• Czasopismo: Management and Production Engineering Review
• Rocznik: 2011
• Tom: 2
• Numer: nr 2
• Strony: 46--52

Twórcy

autor

Antoni Wiliński

• Zachodniopomorski Uniwersytet Technologiczny w Lublinie

autor

Izabela Rejer

• Zachodniopomorski Uniwersytet Technologiczny w Lublinie

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