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Search results for: PORTFOLIO THEORY, POLISH CAPITAL MARKET, ESTIMATION WINDOW, MINIMAL RISK, MAXIMUM EFFICIENCY
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Markowitz’s portfolio theory – optimal length of estimation window for gold and the biggests companies on the Warsaw Stock Exchange
PublicationThe following article is dedicated to the construction of an investment portfolio consisting of 3 investments from the Polish capital market found in the WIG20 index and from investment in gold. The purpose of the study was to determine the optimal length of the estimation window for building a portfolio with minimal risk and maximum efficiency. The length of the estimation window was also assessed in terms of the rate of return...
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Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets
PublicationPurpose: We study if capital markets in the Balkan are closely and positively related in terms of rate of return, risk, efficiency, and maximum cumulative loss in relation to different lengths of the estimation window. Design/Methodology/Approach: The research was carried out for the period from 01/01/2017 to 31/12/2019 using portfolio analysis. It was divided into an estimation window (01/01/2019 to 31/12/2019) and another with...
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Aleksandra Parteka dr hab. inż.
PeopleAbout me: I am an associate professor and head of doctoral studies at the Faculty of Management and Economics, Gdansk University of Technology (GdanskTech, Poland). I got my MSc degree in Economics from Gdansk University of Technology (2003) and Universita’ Politecnica delle Marche (2005), as well as MA degree in Contemporary European Studies from Sussex University (2006, with distinction). I received my PhD in Economics...
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ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY
PublicationThe 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...
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Anna Rzeczycka dr hab.
PeopleAnna Rzeczycka is the deputy head of the Department of Finance at the Faculty of Economics and Management of the Gdańsk University of Technology. Publications are situated in the field of social sciences in the discipline of economics and finance. They include books, monographs, articles, publications and scientific editions of monographs and scientific journals. In terms of numbers, it includes the following items: 12 monographs...
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The share of investments in gold and oil using the example of selected European stock exchanges– A comparative analysis
PublicationIn this article, optimal investment portfolios with minimal risk and maximum efficiency were calculated. The portfolios were designated for ten selected European stock exchanges, based on the listings of the twenty largest companies in each of those markets. All calculations were made based on company shares only, company shares and investments in gold, shares of companies and investments in crude oil as well as shares of companies...
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Marcin Potrykus dr inż.
PeopleA graduate of the Faculty of Management and Economics at the Gdańsk University of Technology. Since 2008, he has been employed as an Assistant at the Department of Finance at the Faculty of Management and Economics of the Gdańsk University of Technology. In 2015, he defended (in the discipline of economics) his doctoral dissertation entitled "Alternative investments - profitability and risk". Since 2016, he has been employed as...
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Inwestycje w surowce w połączeniu z polskim rynkiem kapitałowym, analiza ryzyka i efektywności
PublicationW artykule przedstawiono główne kategorie i rodzaje inwestycji w surowce. Cel opracowania to zbadanie czy inwestycja w Warszawski Indeks Giełdowy stanowi główny składnik optymalnego tj. cechującego się minimalnym ryzykiem portfela inwestycyjnego. Ponadto ustalono czy wspomniana inwestycja tradycyjna stanowi najważniejszy element portfela inwestycyjnego odznaczającego się najwyższą efektywnością. Stwierdzono, że wszystkie z 29 analizowanych...
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Złote monety bulionowe – testowanie pasywnego charakteru inwestycji
PublicationCel – Wyznaczenie składu optymalnego portfela inwestycyjnego o minimalnym ryzyku, zawierającego inwestycję w polskie monety bulionowe (Orzeł Bielik) oraz inwestycję na polskiej giełdzie papierów wartościowych. Testowanie pasywnego charakteru inwestycji w monety. Metodologia badania – Konstrukcja portfeli inwestycyjnych o minimalnym ryzyku według teorii H.M. Markowitza. Autorska metoda badania pasywnego charakteru inwestycji...
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Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles
PublicationThis paper used the GSADF test to determine the periods defined in this paper as price bubbles in the three markets studied, i.e. the investment wine market, precious metal market and national stock market indices of G-7 countries. The results obtained enabled the calculation of the values of the phi correlation coefficients, which served the research objective of assessing the co-occurrence of price bubbles in the markets analysed....
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The Efficiency of Polish Stock Market: Ordinal Patterns Approach
PublicationZunino et al. analyzed the problem of discrimination of developed and emergent markets by the use of ordinal patterns methods: number of forbidden patterns and ordinal pattern probability distribution as a basis for entropy and statistical measure of complexity. In this paper we apply the same methodology for the analysis of Polish stock market (index WIG). The results indicate that Polish market belongs neither to developed, nor...
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Polish Maritime Research
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The investment risk forecasting in a local energy market
PublicationThe paper considers the general problems faced when evaluating the risk of investing in a local energy market by computer tools. The proposal formulated for the emerging local energy markets suggests broadening the method of evaluating investment risk so as to include elements of cluster analysis. The paper also discusses the significance of estimating investment risk in market terms and the importance and range of the local energy...
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Foundations of Capital Market Analysis
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Foundations of Capital Market Analysis
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Social Capital, Human Capital, Tacit Knowledge, and Innovations: A Polish-US Cross-Country Study
PublicationThis study measures the relationship between human and social capital (internal and external) and tacit knowledge sharing's influence on innovativeness among knowledge workers employed in Polish (n=1050) and US (n=1118) organizations. The structural equation modeling method revealed that internal social capital matters more for organizational innovativeness in the US. In Poland, both external and internal were important. Specifically,...
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Modelling processes for Polish civil aviation market
PublicationThe present , paper is the first step in research of Polish civil aviation market, focusing on the area of civil, legacy airlines. First, the market is described with its players, current conditions and its main problems. Next, the tools which are currently used for the prognosis processes are presented. Finally, the idea of a new model (fuzzy model) for the process of prognosis is presented.
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The situation of young mothers in the Polish labour market
PublicationThe purpose of the article is to present the situation of young women combining professional and paternal responsibilities in the Polish labour market. The papaer presents the results of interviews conducted with six young mothers.
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Market Structure and Market Power in Selected Sectors of The Polish Economy Based on COICOP Classification
PublicationThis paper present new and simple measures of market structure and market power. Based on the classical models of market structures, where a given structure is determined by the number of enterprises, indexes of degree of monopoly have been estimated, representing an average number of entities per branch. Additionally, market power indexes have been determined as an average revenue per an enterprise in a given branch. This approach...
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RUSSIANS ON THE POLISH LABOUR MARKET
PublicationThe article looks into the employment of Russian citizens in Poland in 2004– 2018. It presents the legal basis for Russians’ entering Poland and taking up work without having to seek a work permit, and specifies who must apply for such a permit. Russian citizens can obtain refugee status under the Geneva Convention, which grants them the right to move freely, choose their place of residence and undertake paid employment, while...
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Michał Bernard Pietrzak dr hab.
PeopleMichal Pietrzak is head of the Department of Statistics and Econometrics at the Faculty of Economics and Management, Gdańsk University of Technology, and Deputy Editor-in-Chief for Statistical Reviewing of the journals: Oeconomia Copernicana and Equilibrium. Quarterly Journal of Economics and Economic Policy. Until October 2021, he worked as an associate professor at the Faculty of Economic Sciences and Management, Nicolaus...
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Conceptual fuzzy model of the polish internet mortgage market
PublicationThe aim of this paper is to present the conceptual structure of basic fuzzy model representing Polish Internet mortgage market. The paper starts with introduction describing the market complexities and challenges, and description of previously created rule based model. Then the steps of the process of proposed model fuzzyfication are presented. Final part of the paper consists of conclusions and directions for future research.
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Journal of Polish CIMEEAC
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The process of fuzzy model development for the case of polish internet mortgage market
PublicationThe aim of the paper is to present the conceptual description of fuzzy model representing the Polish Internet mortgage market. The first part of the paper consists of assessment and verification of model variables which are important for the Polish Internet Mortgage Market. This process begins with the initial set of variables which was used previously for the rule based model of the same market. As numerous aspects of the market...
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The Hybrid Fuzzy - SOEKS Approach to the Polish Internet Mortgage Market
PublicationThe paper presents the hybrid fuzzy- SOEKS approach to the Polish Internet mortgage market, which is treated as an example of a fast changing market. Firstly, the market and market problems are described. Then, the first approach to the market problems is presented: the complete fuzzy model which was built basing on the rules. The fuzzy model is presented on one real data case. Next, the new approach, called Set of Experience Knowledge...
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On DoA estimation for rotating arrays using stochastic maximum likelihood approach
PublicationThe flexibility needed to construct DoA estimators that can be used with rotating arrays subject to rapid variations of the signal frequency is offered by the stochastic maximum likelihood approach. Using a combination of analytic methods and Monte Carlo simulations, we show that for low and moderate source correlations the stochastic maximum likelihood estimator that assumes noncorrelated sources has accuracy comparable to the...
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A Simulation Model for Risk and Pricing Competition in the Retail Lending Market
PublicationWe propose a simulation model of the retail lending market with two types of agents: borrowers searching for low interest rates and lenders competing through risk-based pricing. We show that individual banks observe adverse selection, even if every lender applies the same pricing strategy and a credit scoring model of comparable discrimination power. Additionally, the model justifies the reverse-S shape of the response rate curve....
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Conditional Value-at-Risk Vs. Value-at-Risk to Multi-Objective Portfolio Optimization
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Downside Risk Approach for Multi-Objective Portfolio Optimization
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A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk
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A rough cut cybersecurity investment using portfolio of security controls with maximum cybersecurity value
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Estimation of the Maximum Permissible PV Power to be Connected to the MV Grid
PublicationIn recent decades, a significant increase in the share of renewable energy sources in power grids at various voltage levels has been observed. A number of articles have been published highlighting emerging problems in low-voltage grids with a large share of prosumers and in medium- and high-voltage grids to which photovoltaic (PV) plants are connected. The article analyzes the medium-voltage grid in terms of the possibility of...
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The content of high-intensity sweeteners in different categories of foods available on the Polish market
PublicationThe objective of this study was to measure the concentrations of nine high-intensity sweeteners (acesulfame-K, aspartame, alitame, cyclamate, dulcin, neohesperidin DC, neotame, saccharin and sucralose) in different categories of food available on the Polish market. Over 170 samples of different brands of beverages, yoghurts, fruit preparations, vegetable preserves and fish products were analysed using an analytical procedure based...
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Hedging with derivatives - Case of Polish market
PublicationThis paper attempts to show the ways of reaching the competitive advantage by hedging with derivatives in Poland. It shows the results of investigation of 50 Polish companies and comparison to the situation in high developed countries. Through broad review of relevant literature, the authors presented the correlation between hedging and competitive advantage. Moreover, paper shows the reasons, of differences between Poland and...
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Indonesian Capital Market Review
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Polish internet mortgage market: towards fully developed fuzzy model
PublicationThe first part of the paper consists of introduction describing the Polish Internet Mortgage Market. Later there is presented the idea of the rule based model which may be used on this market. Next step consists of fuzzyfication of the model. This process begins with the initial set of variables which was used previously for the rule based model of the same market. As numerous aspects of the market cannot be presented in the crisp...
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TOWARD A FUZZY MODEL OF POLISH INTERNET MORTGAGE MARKET
PublicationThis article presents our continuing efforts to develop a model of the Internet-based mortgage market in Poland. It sums up modeling research done over the last 4 years, also showing the stages and the process of building and verifying the proposed model consisting of three submodels. The submodels are described for three market situations; that is, a stable market, financial crisis, and economic boom. The proposed model variables...
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Ukrainian Market of Electrical Energy: Reforming, Financing, Innovative Investment, Efficiency Analysis, and Audit
PublicationThe aim of this research is to determine the influence of electrical energy market regulation reform in Ukraine on the competitive environment, the reproduction processes of financial and innovative support, and the energy efficiency of the national economy. The authors have put forward and verified the hypothesis that, under conditions of institutional maturity of the Ukrainian electrical energy market, its liberalization and...
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Volatility modelling and market risk analysis 2024/2025
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Renewable Energy Sources on the Polish Electrical Energy Market
PublicationProduction of electricity from renewable energu sources in Poland is presented in the paper.The machanism of energy origin certifikates market and the proposal of mechanism modification are discused.
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Electricity Portfolio Optimization for Large Consumers: Iberian Electricity Market Case Study
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Workforce mobility against the background of labour market duality theory – the example of selected OECD countries
PublicationThe paper aims to present an empirical study of labour market segmentation (LMS) hypothesis. According to the dual labour market theory jobs can be divided into two groups: primary and secondary jobs, with enter barriers into the first one. The primary jobs are usually described with relative high wages, whereas secondary jobs provide lower level of wages. In this paper we first examine the main sectors (according to the ISIC rev....
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Leadership, culture, intellectual capital and knowledge processes for organizational innovativeness across industries: the case of Poland
PublicationPurpose – This study aims to present the overview of intellectual capital creation micro-mechanisms concerning formal and informal knowledge processes. The organizational culture, transformational leadership and innovativeness are also included in the investigation as ascendants and consequences of the focal relation of intellectual capital and knowledge processes. Design/methodology/approach – Based on a sample of 1,418 Polish...
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Non-causal final impulse response filters for the maximum return from capital markets
PublicationW artykule rozważa się strategię operacji na rynkach kapitałowych, która polega na kupowaniu lub sprzedawaniu instrumentu finansowego, kiedy sygnał wyjściowy nie-przyczynowego filtru o skończonej odpowiedzi impulsowej osiąga odpowiednio minimum lub maksimum. Celem artykułu jest wyznaczenie "najlepszego" nie-przyczynowego filtru o skończonej odpowiedzi impulsowej (FIR), który zapewnia maksymalną stopę zwrotu z rynku przy użyciu...
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Security of export transactions in the offer of leading banks on the Polish market
PublicationThe following article presents the so-called conditioned payment methods, i.e. instruments for securing export transactions, such as letter of credit, documentary collection, bank guarantees, factoring and forfaiting. The characteristics of each particular method are presented as well as the transactions using them are described. In the following paper, the author included also the leading Polish banks, which offer the above- mentioned...
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Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
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Environmental risk assessment of Polish wastewater treatment plant activity
PublicationWastewater treatment plants (WWTPs) play an extremely important role in shaping modern society's environmental wellbeing and awareness, however only well operated and supervised systems can be considered as environmentally sustainable. For this reason, an attempt was undertaken to assess the environmental burden posed by WWTPs in major Polish cities by collecting water samples prior to and just after wastewater release points....
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Finite-window RLS algorithms
PublicationTwo recursive least-squares (RLS) adaptive filtering algorithms are most often used in practice, the exponential and sliding (rectangular) window RLS algorithms. This popularity is mainly due to existence of low-complexity versions of these algorithms. However, these two windows are not always the best choice for identification of fast time-varying systems, when the identification performance is most important. In this paper, we...
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Degree of monopoly and market power vs. price flexibility in Polish economy: empirical analysis based on COICOP classification
PublicationResearch background: The issue of price flexibility is crucial in the economy both in the aspect of company theory and its macroeconomic consequences. In a number of publications, the sources of variable price flexibility are linked to the market power of enterprises as well as the market structure that has developed in a given branch. It is difficult to indicate empirical studies that would state clearly whether price flexibility...
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Market Size, Competitiveness and Technological Frontier - the Impact of Trade Integration with the UE on Productivity in Polish Manufacturing Sectors
PublicationThis paper addresses the relationship between growth of relative productivity in Polish manufacturing sectors and forces stemming from trade integration with the EU. We look at the productivity growth from the perspective of relations between Polish manufacturing sectors and the foreign ones, focusing on partner countries from the enlarged EU. Empirical analysis is based on sector level bilateral data concerning both domestic (Polish)...