Warianty tytułu
Management of Portfolio Risk - the Comparison of Various Approaches
Języki publikacji
Abstrakty
W artykule proponuje się zbadanie efektywności kilku podejść wykorzystujących metody wielkowymiarowej analizy porównawczej, co łączy analizę fundamentalną z portfelową i odpowiada długoterminowemu charakterowi tej inwestycji. (fragment tekstu)
The portfolio analysis is considered one of the advanced investment methods on the capital market. The idea arises from the diversification of the risk of investing in securities. In the classic approach, the assumption is that increasing the number of shares in a portfolio leads to reduction of portfolio risk measured by the portfolio's variance. In earlier works, the terms vertical risk diversification and horizontal risk diversification were introduced. The former is a classic method of diversification risk. In the latter, the main idea involves an adequate selection of stock companies (based on the evaluation of their economic/financial condition) for which portfolios are to be created. The article presents research results of the effectiveness of various approaches which use multidimensional comparative analysis methods (particularly the TMAI [taxonomic measure of investment attractiveness] synthetic measure of development) as well as classic approaches on the Polish capital market. The subjects of research were all stock companies listed on the Warsaw Stock Exchange continuous trading quotations from 2000 to 2006. The basic aim was the comparison of the classic approach with an approach combining fundamental analysis with portfolio analysis. Moreover, an evaluation of the validity of such a combination within the conditions of the Polish capital market was made. (original abstract)
Rocznik
Numer
Strony
463--472
Opis fizyczny
Twórcy
autor
autor
Bibliografia
- Łuniewska M., Wykorzystanie metod ilościowych do tworzenia portfela papierów wartościowych, Rozprawy i Studia t.(DLVIII) 484, Wyd. Naukowe Uniwersytetu Szczecińskiego, Szczecin 2004.
- Tarczyński W., Fundamentalny portfel papierów wartościowych, PWE, Warszawa 2002.
- Tarczyński W., Łuniewska M., Dywersyfikacja ryzyka na polskim rynku kapitałowym, Wyd. Placet, Warszawa 2004.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171213677