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ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY
Abstract
The purpose of the study is to assess whether the inclusion of investments in gold and/or crude oil improves an investment portfolio consisting of shares of enterprises included in the WIG20 index (traditional invest-ments). All possible combinations of investment portfolios with minimal risk and maximum efficiency were tested. The portfolios were determined based on Markowitz’s portfolio theory. All results were compared with a naive strategy. In total, nearly 55,000 investment portfolios consisting of three, four or five invest-ments were constructed. The study showed that the application of portfolio theory contributes to obtaining better results than a naive strategy. The minimum risk portfolios that included gold and crude oil showed a risk reduction of 0.39 p.p. on average and a maximum cumulative loss of 7.85 p.p. on average. Portfolios with maximum efficiency achieved an average increase in the rate of return of the investment portfolio of 0.024 p.p. and an average increase in efficiency of 0.0256.
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- Publication version
- Accepted or Published Version
- DOI:
- Digital Object Identifier (open in new tab) 10.22630/ASPE.2019.18.4.47
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- Category:
- Articles
- Type:
- artykuły w czasopismach
- Published in:
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Acta Scientiarum Polonorum. Oeconomia
no. 18,
pages 77 - 84,
ISSN: 1644-0757 - Language:
- English
- Publication year:
- 2019
- Bibliographic description:
- Potrykus M.: ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY// Acta Scientiarum Polonorum. Oeconomia -Vol. 18,iss. 4 (2019), s.77-84
- DOI:
- Digital Object Identifier (open in new tab) 10.22630/aspe.2019.18.4.47
- Verified by:
- Gdańsk University of Technology
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