IDEAS home Printed from https://ideas.repec.org/a/wut/journl/v3-4y2004p5-18.html
   My bibliography  Save this article

A procedure of choice of shares portfolio which is to provide supervision of unsystematic risk

Author

Listed:
  • Tomasz Brzęczek

Abstract

Przedstawiono procedurę wyboru portfela akcji zapewniającą kontrolę ryzyka specyficznego. Proponowana procedura jest oparta na modelu rynkowym. Weryfikacja empiryczna procedury dowodzi, że pozwalała ona zdywersyfikować portfel i jednocześnie uzyskać wysoką efektywność rzeczywistą tego portfela w latach 2000–2003. Efektywność rzeczywista uzyskanych portfeli była znacznie wyższa niż dla portfela całego rynku i była ustalana na podstawie miernika Sharpe’a i miernika Treynora dla stóp zwrotu realizowanych po dokonaniu wyboru portfela. Charakterystyki portfeli konstruowanych na bazie prezentowanej procedury, a szczególnie liczba akcji dobieranych do portfela, sprawiają, że procedurę t ę mogliby stosować inwestorzy finansowi, w tym również duże fundusze inwestycyjne.

Suggested Citation

  • Tomasz Brzęczek, 2004. "A procedure of choice of shares portfolio which is to provide supervision of unsystematic risk," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 14(3-4), pages 5-18.
  • Handle: RePEc:wut:journl:v:3-4:y:2004:p:5-18
    as

    Download full text from publisher

    File URL: https://ord.pwr.edu.pl/assets/papers_archive/16%20-%20published.pdf
    Download Restriction: no
    ---><---

    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:wut:journl:v:3-4:y:2004:p:5-18. 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: Adam Kasperski (email available below). General contact details of provider: https://edirc.repec.org/data/iopwrpl.html .

    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.