The Methods for Selection of Shares for Investment Portfolio on Example of Companies in the Stock Exchange in Warsaw

• Autorzy: Monika Miśkiewicz-Nawrocka
• Języki publikacji: EN

Abstrakty

EN

Purpose: The research on the composition of the optimal securities portfolio, conducted for many years, provides new tools and approaches not only to determining the shares of financial instruments in an optimal portfolio but also to the selection of instruments for the portfolio. One of the new approaches is the use of deterministic chaos to determine the composition of the portfolio. The purpose of the paper is to create company rankings and to assess the efficiency of investment portfolios built on their basis. Design/methodology/approach: In order to rank companies in terms of investment attractiveness, and to build and evaluate the efficiency of investment portfolios created on the basis of the division made, the analysis used such measures as: beta coefficient, Hurst exponent, synthetic measures: TMAI and WAI. Findings: The applied measures allowed to rank and divide listed companies due to the level of attractiveness for an investor. The research shows that better results were obtained for portfolios built on the basis of synthetic measures i.e. TMAI than WAI. Research limitations/implications: An important element of portfolio analysis research seems to be the use of tools such as the Hurst exponent. The research showed that the selection of shares for the portfolio based on the Hurst exponent often gives better or as good results as the methods taking into account the economic and financial situation of a company. Practical implications: The application in portfolio analysis. Originality/value: The WAI measures used to create a company ranking and build a portfolio of shares based on it. The application tools of deterministic chaos to determine the composition of the portfolio. (original abstract)

Słowa kluczowe

EN

Investment portfolio; Capital market; Stock market companies; Portfolio analysis; Investing attractiveness

PL

Portfel inwestycyjny; Rynek kapitałowy; Spółki giełdowe; Analiza portfelowa; Atrakcyjność inwestycyjna

• Czasopismo: Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska
• Rocznik: 2020
• Numer: z. 149
• Strony: 451--461

Twórcy

autor

Monika Miśkiewicz-Nawrocka

• University of Economics in Katowice, Poland

Bibliografia

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Identyfikatory

DOI

10.29119/1641-3466.2020.149.38