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Ranking of optimal stock portfolios determined on the basis of expected utility maximization criterion

Author

Listed:
  • Giemza Dawid

    (University of Economics in Katowice)

Abstract

Aim/purpose – The aim of the paper is to rank the optimal portfolios of shares of companies listed on the Warsaw Stock Exchange, taking into account the investor’s propensity to risk.

Suggested Citation

  • Giemza Dawid, 2021. "Ranking of optimal stock portfolios determined on the basis of expected utility maximization criterion," Journal of Economics and Management, Sciendo, vol. 43(1), pages 154-178, January.
    • Handle: RePEc:vrs:jecman:v:43:y:2021:i:1:p:154-178:n:13
    DOI: 10.22367/jem.2021.43.08
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    References listed on IDEAS

    as
    1. Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy, 2018. "Determination and estimation of risk aversion coefficients," Computational Management Science, Springer, vol. 15(2), pages 297-317, June.
    3. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
    4. Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    optimal portfolio; expected rate of return on the portfolio; portfolio standard deviation; expected utility theory; multidimensional comparative analysis;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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