IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-030-15581-0_11.html
   My bibliography  Save this book chapter

The Application of Two-Stage Diversification to Portfolios from the WSE

In: Contemporary Trends and Challenges in Finance

Author

Listed:
  • Agata Gluzicka

    (University of Economics in Katowice)

Abstract

Diversification is one of the most important elements of the process of investment portfolio management. The special attention is focus on the diversification in the periods of the rapid changes in the financial markets. The numerous empirical research have shown that the lack of the appropriate assumptions in the portfolio construction or the bad stock selection can have catastrophic consequences. One of the important problem is the portfolio diversification. In the recent years a few interesting methods to construct the well-diversified portfolios have been proposed. In the article the models of construction the Rao’s Quadratic Entropy portfolios and the Most Diversified Portfolios were described. Also two criteria for selecting stocks to portfolio were presented. These criteria in some sense can improve the well-diversified portfolios. Proposed methods were applied to selected stocks from the Warsaw Stock Exchange. The main goal of these research was analysis of the impact of presented criteria on the risk, rate of return and Sharpe Ratio of diversified portfolios. The research provided that the best results were received when the stocks were selected according to the values of Portfolio Diversification Index and when portfolios were constructed as the Most Diversified Portfolios.

Suggested Citation

  • Agata Gluzicka, 2019. "The Application of Two-Stage Diversification to Portfolios from the WSE," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orłowski & Karsten Staehr (ed.), Contemporary Trends and Challenges in Finance, pages 115-126, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-15581-0_11
    DOI: 10.1007/978-3-030-15581-0_11
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:prbchp:978-3-030-15581-0_11. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.