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

• Autorzy: Florin Aliu , Artor Nuhiu , Besnik Krasniqi , Fisnik Aliu

Warianty tytułu

Modelowanie optymalnego portfela : przypadek największych europejskich giełd papierów wartościowych

• Języki publikacji: EN

Abstrakty

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)

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)

Słowa kluczowe

EN

Portfolio diversification; Stock market; Spearman's rank correlation coefficient

PL

Dywersyfikacja portfela; Giełda papierów wartościowych; Współczynnik korelacji rang Spearmana

• Czasopismo: Comparative Economic Research
• Rocznik: 2020
• Tom: 23
• Numer: nr 2
• Strony: 41--51

Twórcy

autor

Florin Aliu

• University for Business and Technology (UBT), Prishtina, Kosovo

autor

Artor Nuhiu

• University of Prishtina, Prishtina, Kosovo

autor

Besnik Krasniqi

• University of Prishtina, Prishtina, Kosovo

autor

Fisnik Aliu

• University for Business and Technology (UBT), Prishtina, Kosovo

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Identyfikatory

DOI

10.18778/1508-2008.23.11