PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2020 | 23 | nr 2 | 41--51
Tytuł artykułu

Modeling the Optimal Portfolio : the Case of the Largest European Stock Exchanges

Warianty tytułu
Modelowanie optymalnego portfela : przypadek największych europejskich giełd papierów wartościowych
Języki publikacji
EN
Abstrakty
Optymalizacja portfela jest głównym przedmiotem zainteresowania zarządzających portfelem. Dobór papierów wartościowych jest zależny od skłonności inwestora do podejmowania ryzyka. W niniejszym opracowaniu dokonano pomiaru zmian relacji ryzyko-zysk w miarę wzrostu liczby akcji w portfelu. Stworzono sześć różnych portfeli o liczbie akcji wynoszącej odpowiednio: 47, 95, 142, 190, 239 i 287 akcji. Dane dotyczące cen akcji i wolumenu obrotu były zbierane co tydzień z sześciu największych europejskich giełd papierów wartościowych (FTSE100, CAC40, FTSE MIB, IBEX35, DAX i MDAX). Do pomiaru poziomu ryzyka poszczególnych portfeli zastosowano wzór znany z teorii dywersyfikacji Markowitza (1952). Wyniki analizy pokazują, że ryzyko dywersyfikacji maleje dla portfeli o coraz większej ilości akcji (od 47 akcji do 287 akcji w portfelu). Średni ważony zwrot z portfela rośnie dla portfeli o większej liczbie akcji, co jest sprzeczne ze standardowymi teoriami portfela. Wyniki analizy mogą być przydatne dla inwestorów, którzy koncentrują się wyłącznie na największych europejskich giełdach papierów wartościowych. (abstrakt oryginalny)
EN
Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor's risk tolerance. The study measures the risk-reward relationship when the number of stocks in the portfolio increases. Six diverse portfolios have been created with a different number of stocks, such as portfolios with 47 stocks, 95 stocks, 142 stocks, 190 stocks, 239 stocks, and 287 stocks. Stock prices and trading volume were collected on a weekly basis from the six largest European stock exchanges (FTSE100, CAC40, FTSE MIB, IBEX35, DAX, and MDAX). Markowitz's (1952) diversification formula has been used to measure the risk level of the individual portfolios. The results of the study show that the diversification risk constantly decreases when we move from the portfolios with 47 stocks to the portfolios with 287 stocks. The weighted average returns increase on the portfolios with a higher number of stocks, which is contrary to the standard portfolio theories. The results of the study indicate managerial implications for financial investors that are focused exclusively on the largest European stock exchanges. (original abstract)
Rocznik
Tom
23
Numer
Strony
41--51
Opis fizyczny
Twórcy
autor
  • University for Business and Technology (UBT), Prishtina, Kosovo
autor
  • University of Prishtina, Prishtina, Kosovo
  • University of Prishtina, Prishtina, Kosovo
autor
  • University for Business and Technology (UBT), Prishtina, Kosovo
Bibliografia
  • Abid, F., Leung, P., Mroua, M., Wong, W. (2014), International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches, "Journal of Risk and Financial Management", Vol. 7 (2). https:// doi.org/10.3390/jrfm7020045
  • Aliu, F., Krasniki, B., Knapkova, A., Aliu, F. (2019), Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications, "Acta Oeconomica", Vol. 69 (2). https://doi.org/10.1556/032.2019.69.2.6
  • Aliu, F., Pavelkova, D., Dehning, B. (2017), Portfolio risk-return analysis: The case of the automotive industry in the Czech Republic, "Journal of International Studies", Vol. 10 (4). https://doi.org/10.14254/2071-8330.2017/10-4/5
  • Bali, T., Cakici, N., Levy, H. (2008), A model-independent measure of aggregate idiosyncratic risk, "Journal of Empirical Finance", Vol. 15 (5).
  • Bartram, S., Taylor, S., Wang, Y. (2007), The Euro and European financial market dependence, "Journal of Banking & Finance", Vol. 31 (5). https://doi.org/10.1016/j.jba nkfin.2006.07.014
  • Berrill, J., Kearney, C., O'Hagan-Luff, M. (2019), Measuring the diversification benefits of investing in highly internationalised firms, "International Business Review", Vol. 28 (4). https://doi.org/10.1016/j.ibusrev.2019.01.005
  • Brands, S., Gallagher, D. (2005), Portfolio selection, diversification and fund-of-funds: a note, "Accounting & Finance", Vol. 45 (2). https://doi.org/10.1111/j.1467-629x.20 04.00130.x
  • Burzala, M. (2016), Contagion Effects in Selected European Capital Markets During the Financial Crisis of 2007-2009, "Research in International Business and Finance", Vol. 37 (May). https://doi.org/10.1016/j.ribaf.2016.01.026
  • Cai, F., Warnock, F. (2012), Foreign exposure through domestic equities, "Finance Research Letters", Vol. 9 (1). https://doi.org/10.1016/j.frl.2011.12.001
  • Christoffersen, P., Errunza, V., Jacobs, K., Langlois, H. (2012), Is the potential for international diversification disappearing? A dynamic copula approaches, "The Review of Financial Studies", Vol. 25 (12). https://doi.org/10.1093/rfs/hhs104
  • Damodaran, A. (2012), Damodaran on valuation: security analysis for investment and corporate finance, John Wiley & Sons, New York. https://doi.org/10.1002/9781119 201786
  • Driessen, J., Laeven, L. (2007), International portfolio diversification benefits: Cross-country evidence from a local perspective, "Journal of Banking & Finance", Vol. 31 (6). https://doi.org/10.1016/j.jbankfin.2006.11.006
  • Elton, E.J., Gruber, M.J. (1977), Risk reduction and portfolio size: An analytical solution, "The Journal of Business", Vol. 50 (4). https://doi.org/10.1086/295964
  • Errunza, V., Hogan, K., Hung, M.W. (1999), Can the gains from international diversification be achieved without trading abroad?, "The Journal of Finance", Vol. 54 (6). https://doi.org/10.1111/0022-1082.00182
  • Evans, J.L., Archer, S.H. (1968), Diversification and the reduction of dispersion: an empirical analysis, "The Journal of Finance", Vol. 23 (5). https://doi.org/10.2307/232 5905
  • Fama, E.F. (1968), Risk return and equilibrium: some clarifying comments, "The Journal of Finance", Vol. 23 (1). https://doi.org/10.1111/j.1540-6261.1968.tb02996.x
  • Farooqi, J., Huerta, D., Ngo, T. (2015), Should you globally diversify or let the globally diversified firm do it for you?, "The Quarterly Review of Economics and Finance", Vol. 57. https://doi.org/10.1016/j.qref.2015.02.005
  • French, K.R., Poterba, J.M. (1991), Investor diversification and international equity markets, National Bureau of Economic Research, Working Paper No. 3609. https://www .nber.org/papers/w3609.pdf (accessed: 23.01.2019).
  • Gup, B.E. (1983), The Basics of Investing (2nd ed.), Wiley & Sons, New York.
  • Kacperczyk, M., Sialm, C., Zheng, L. (2005), On the industry concentration of actively managed equity mutual funds, "The Journal of Finance", Vol. 60 (4). https://doi.org /10.1111/j.1540-6261.2005.00785.x
  • Kumar, A. (2007), Do the diversification choices of individual investors influence stock returns?, "Journal of Financial Markets", Vol. 10 (4). https://doi.org/10.1016/j.finmar .2007.06.003
  • Lintner, J. (1965), Security prices, risk, and maximal gains from diversification, "The Journal of Finance", Vol. 20 (4). https://doi.org/10.2307/2977249
  • Markowitz, H. (1952), Portfolio selection, "The Journal of Finance", Vol. 7 (1). https:// doi.org/10.2307/2975974
  • Meucci, A. (2009), Managing diversification, "Risk", Bloomberg Education & Quantitative Research and Education Paper, http://ssrn.com/abstract=1358533 (accessed: 30.01.2019).
  • Reilly, F.K. (1985), Investment Analysis and Portfolio Management (2nd ed.), Dryden Press, San Francisco.
  • Roll, R. (2013), Volatility, correlation, and diversification in a multi-factor world, "Journal of Portfolio Management", Vol. 39 (2). https://doi.org/10.3905/jpm.2013.39.2.011
  • Sharpe, W.F. (1964), Capital asset prices: A theory of market equilibrium under conditions of risk, "The Journal of Finance", Vol. 19 (3). https://doi.org/10.2307/2977928
  • Skintzi, V.D., Refenes, A.P.N. (2005), Implied correlation index: A new measure of diversification, "Journal of Futures Markets: Futures, Options, and Other Derivative Products", Vol. 25 (2). https://doi.org/10.1002/fut.20137
  • Solnik, B.H. (1974), Why not diversify internationally rather than domestically?, "Financial Analysts Journal", Vol. 30. https://doi.org/10.2469/faj.v30.n4.48
  • Statman, M. (1987), How many stocks make a diversified portfolio?, "Journal of Financial and Quantitative Analysis", Vol. 22 (3). https://doi.org/10.2307/2330969
  • Stevenson, R.A., Jennings, E.H. (1984), Fundamentals of Investments (3rd ed.), West Publ. Co., San Francisco.
  • Van Nieuwerburgh, S., Veldkamp, L. (2009), Information immobility and the home bias puzzle, "The Journal of Finance", Vol. 64 (3). https://doi.org/10.1111/j.1540-62 61.2009.01462.x
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171603617

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.