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Model of Static Portfolio Choices

Author

Listed:
  • Madalina Gabriela ANGHEL

    (Bucharest University of Economic Studies)

  • Gyorgy BODO

    (Bucharest University of Economic Studies)

  • Okwiet BARTEK

    (Czestochowa University of Technology)

Abstract

In decentralised economies the financial markets has a key role, being considered as institutions that transfer entrepreneurial risk to consumers. The entrepreneurial risk is assumed by the investors as part of the industrial or infrastructure investment that could be considered as the engine of the economic growth. The risk related to the investments finally is transferred from the investors to the tax paying population which statistically can be considered as risk-averse. The problem of the investors is to determine the optimum balance between the assumed risk and the expected performance, but having a limited investment capital. In this paper we examined a simple version of the problem convincing risk-averse people to accept the purchase of risky assets by receiving an additional premium on it. Also, we focus on behaviour of investors who spend the entire investment at the end of the analysed period, but for simplicity we detach the time component of the equation.

Suggested Citation

  • Madalina Gabriela ANGHEL & Gyorgy BODO & Okwiet BARTEK, 2016. "Model of Static Portfolio Choices," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 49-53, January.
    • Handle: RePEc:rsr:supplm:v:64:y:2016:i:1:p:49-53
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    References listed on IDEAS

    as
    1. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 200-226, January.
    2. Gabriela Victoria ANGHELACHE & Mădălina Gabriela ANGHEL, 2013. "Specific patterns in portfolio analysis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(11(588)), pages 7-24, November.
    3. repec:agr:journl:v:11(588):y:2013:i:11(588):p:7-24 is not listed on IDEAS
    4. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
    5. Constantin Anghelache & Madalina Anghel, 2015. "Econometric models utilized for the portfolio selection," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 63(4), pages 19-21, April.
    6. Bjorn Hagstromer & Jane Binner, 2009. "Stock portfolio selection with full-scale optimization and differential evolution," Applied Financial Economics, Taylor & Francis Journals, vol. 19(19), pages 1559-1571.
    7. Alexandre Adam & Mohamed Houkari & Jean-Paul Laurent, 2008. "Spectral risk measures and portfolio selection," Post-Print hal-03676385, HAL.
    8. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 200-226, January.
    9. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    10. Jialun Li & Kent Smetters, 2011. "Optimal Portfolio Choice with Wage-Indexed Social Security," NBER Working Papers 17025, National Bureau of Economic Research, Inc.
    11. MOSSIN, Jan, 1968. "Optimal multiperiod portfolio policies," LIDAM Reprints CORE 19, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    12. Madalina - Gabriela ANGHEL, 2012. "Statistical Indicators Used in the Analysis of Portfolios of Financial Instruments," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 117-120, November.
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    Cited by:

    1. Madalina-Gabriela Anghel & Constantin Anghelache & Stefan Virgil Iacob, 2022. "Theoretical Elements Regarding The Management Of A Dynamic Portfolio," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 91-96, February.
    2. Constantin ANGHELACHE & Mădălina-Gabriela ANGHEL & Ștefan Virgil IACOB & Iulian RADU, 2022. "Assessing the performance of mutual funds," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(631), S), pages 175-186, Summer.

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