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Wyniki wyszukiwania dla: 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
PublikacjaThe 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
PublikacjaPurpose: 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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ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY
PublikacjaThe 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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The share of investments in gold and oil using the example of selected European stock exchanges– A comparative analysis
PublikacjaIn 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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Inwestycje w surowce w połączeniu z polskim rynkiem kapitałowym, analiza ryzyka i efektywności
PublikacjaW 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
PublikacjaCel – 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
PublikacjaThis 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
PublikacjaZunino 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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The investment risk forecasting in a local energy market
PublikacjaThe 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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Social Capital, Human Capital, Tacit Knowledge, and Innovations: A Polish-US Cross-Country Study
PublikacjaThis 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
PublikacjaThe 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
PublikacjaThe 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
PublikacjaThis 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
PublikacjaThe 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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Conceptual fuzzy model of the polish internet mortgage market
PublikacjaThe 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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The process of fuzzy model development for the case of polish internet mortgage market
PublikacjaThe 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
PublikacjaThe 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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A Simulation Model for Risk and Pricing Competition in the Retail Lending Market
PublikacjaWe 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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On DoA estimation for rotating arrays using stochastic maximum likelihood approach
PublikacjaThe 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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Conditional Value-at-Risk Vs. Value-at-Risk to Multi-Objective Portfolio Optimization
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The content of high-intensity sweeteners in different categories of foods available on the Polish market
PublikacjaThe 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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A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk
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Downside Risk Approach for Multi-Objective Portfolio Optimization
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Hedging with derivatives - Case of Polish market
PublikacjaThis 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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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
PublikacjaIn 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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Polish internet mortgage market: towards fully developed fuzzy model
PublikacjaThe 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
PublikacjaThis 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
PublikacjaThe 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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Renewable Energy Sources on the Polish Electrical Energy Market
PublikacjaProduction 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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Workforce mobility against the background of labour market duality theory – the example of selected OECD countries
PublikacjaThe 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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Electricity Portfolio Optimization for Large Consumers: Iberian Electricity Market Case Study
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Security of export transactions in the offer of leading banks on the Polish market
PublikacjaThe 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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Leadership, culture, intellectual capital and knowledge processes for organizational innovativeness across industries: the case of Poland
PublikacjaPurpose – 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
PublikacjaW 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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Environmental risk assessment of Polish wastewater treatment plant activity
PublikacjaWastewater 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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Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
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Degree of monopoly and market power vs. price flexibility in Polish economy: empirical analysis based on COICOP classification
PublikacjaResearch 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
PublikacjaThis 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)...
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Finite-window RLS algorithms
PublikacjaTwo 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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Exploring efficiency differentials between Italian and Polish universities, 2001-2011
PublikacjaIn this study, data envelopment analysis (DEA) is used to evaluate the relative efficiency of a sample of 54 Italian and 30 Polish state universities over the period 2001–11. The investigation was conducted in two steps. Unbiased DEA efficiency scores were first estimated and then regressed on external variables to quantitatively assess the direction and size of the impact of potential determinants. The analysis reveals a strong...
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Cadmium and lead content in gluten and gluten-free bread available on the Polish market – potential health risk to consumers
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Estimation of the Regenerative Braking Process Efficiency in Electric Vehicles
PublikacjaIn electric and hybrid vehicles, it is possible to recover energy from the braking process and reuse it to drive the vehicle using the batteries installed on-board. In the conditions of city traffic, the energy dissipated in the braking process constitutes a very large share of the total resistance to vehicle motion. Efficient use of the energy from the braking process enables a significant reduction of fuel and electricity consumption...
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Measurement of expenditure efficiency of Polish cities with county rights in the context of quality of life
PublikacjaThe article is devoted to the measurement of efficiency of overall expenditures. The purpose of the study is to evaluate the efficiency of use of budget resources by local government units in the context of fostering quality of life. The subject of the study is 65 Polish cities with county rights (county status). Calculations were carried out using Data Envelopment Analysis (DEA). The results of analysis confirm the two research...
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Analysis of latency between quotations and capital flow in capital markets.
PublikacjaThe aim of this paper is to prove that the derivative of the log of capital flow understood as price times volume advances the derivative of log of the price. A certain concept of signal processing using linear filtering has been proposed to conduct the research.
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CARDIOVASCULAR RISK FACTORS AMONG POLISH EMPLOYEES OF UNIFORMED SERVICES
PublikacjaObjectives: Employees of uniformed services (EoUS) were screened for cardiovascular risk factors. Material and Methods: A total of 1138 EoUS (age M±SD 49.9±6.0 years) and 263 controls (age M±SD 54.4±9.7 years) under the care of the cardiology clinic in Gdańsk, Poland,were included in the study. Medical history and blood samples were collected, and a physical examination was performed. Ten-year cardiovascular risk of death was...
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Maximum A Posteriori Bayesian Estimation of Chromatographic Parameters by Limited Number of Experiments
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Knowledge and intellectual capital in a library
PublikacjaThe article constitutes an attempt to focus on the issues connected with knowledge management and intellelectual capital in a library, that is meant as a knowledge-based organisation, supporting the process of creating knowledge. it was characterised as the process of knowledge management in the library environment and diferent approaches to intelelectual capital management that depends on accepted philosophical conception....
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Estimation of the minimal number of periodic points for smooth self-maps of odd dimensional real projective spaces
PublikacjaLet f be a smooth self-map of a closed connected manifold of dimension m⩾3. The authors introduced in [G. Graff, J. Jezierski, Minimizing the number of periodic points for smooth maps. Non-simply connected case, Topology Appl. 158 (3) (2011) 276-290] the topological invariant NJD_r[f], where r is a fixed natural number, which is equal to the minimal number of r-periodic points in the smooth homotopy class of f. In this paper smooth...
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An Estimation of the Efficiency of Public Research Institutes in Poland – DEA Approach
PublikacjaObjective: The purpose of this paper is to measure and assess the efficiency of research institutes in Poland. The institutes operate on the basis of various legal frameworks, but they serve a common purpose and have a joint area of activity, research and development.Research Design & Methods: We used the SBM model, a component of the non-parametric Data Envelopment Analysis (DEA) methodology, to analyse the efficiency...