Search results for: PORTFOLIO THEORY

• Markowitz’s portfolio theory – optimal length of estimation window for gold and the biggests companies on the Warsaw Stock Exchange

  Publication

  • M. Potrykus

  - PRACE NAUKOWE UNIWERSYTETU EKONOMICZNEGO WE WROCŁAWIU - Year 2019

  The 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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• Winterthur Portfolio

  Journals

  ISSN: 0084-0416 , eISSN: 1545-6927

• ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY

  Publication

  • M. Potrykus

  - Acta Scientiarum Polonorum. Oeconomia - Year 2019

  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...

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• JOURNAL OF PORTFOLIO MANAGEMENT

  Journals

  ISSN: 0095-4918 , eISSN: 2168-8656

• Downside Risk Approach for Multi-Objective Portfolio Optimization

  Publication

  • B. Sawik

  - Year 2012

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• Multi-Objective Portfolio Optimization by Mixed Integer Programming

  Publication

  • B. Sawik

  - SSRN Electronic Journal - Year 2011

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• A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk

  Publication

  • B. Sawik

  - Decision Making in Manufacturing and Services - Year 2010

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• A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization

  Publication

  • B. Sawik

  - Decision Making in Manufacturing and Services - Year 2009

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• Financial Markets and Portfolio Management

  Journals

  ISSN: 1934-4554 , eISSN: 2373-8529

• Selected multiobjective methods for multiperiod portfolio optimization by mixed integer programming

  Publication

  • B. Sawik

  - Year 2010

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