scholarly journals Efficient Stock Portfolio Construction by Means of Clustering

2018 ◽  
Vol 1 (333) ◽  
Author(s):  
Jerzy Korzeniewski
Keyword(s):  
Stock Exchange ◽  
Investment Decisions ◽  
Portfolio Construction ◽  
Homogeneous Groups ◽  
Novel Technique ◽  
Partitioning Around Medoids ◽  
Warsaw Stock Exchange ◽  
Stock Portfolio ◽  
Stock Market Investment ◽  
Good Number

When investors start to use statistical methods to optimise their stock market investment decisions, one of fundamental problems is constructing a well‑diversified portfolio consisting of a moderate number of positions. Among a multitude of methods applied to the task, there is a group based on dividing all companies into a couple of homogeneous groups followed by picking out a representative from each group to create the final portfolio. The division stage does not have to coincide with the sector affiliation of companies. When the division is performed by means of clustering of companies, a vital part of the process is to establish a good number of clusters. The aim of this article is to present a novel technique of portfolio construction based on establishing a numer of portfolio positions as well as choosing cluster representatives. The grouping methods used in the clustering process are the classical k‑means and the PAM (Partitioning Around Medoids) algorithm. The technique is tested on data concerning the 85 biggest companies from the Warsaw Stock Exchange for the years 2011–2016. The results are satisfactory with respect to the overall possibility of creating a clustering‑based algorithm requiring almost no intervention on the part of the investor.

Fundamental Portfolio Construction Based on Semi-Variance

2013 ◽  
Vol 8 (2) ◽  
pp. 151-162 ◽  
Author(s):  
Anna Rutkowska-Ziarko
Keyword(s):  
Stock Exchange ◽  
Risk Measure ◽  
Equal Treatment ◽  
Rate Of Return ◽  
Portfolio Construction ◽  
Financial Situation ◽  
Markowitz Model ◽  
Synthetic Indicator ◽  
Warsaw Stock Exchange

In models for creating a fundamental portfolio, based on the classical Markowitz model, the variance is usually used as a risk measure. However, equal treatment of negative and positive deviations from the expected rate of return is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations only. However, finding the fundamental portfolio with minimum semi-variance is not possible with the existing methods.The aim of the article is to propose and verify a method which allows to find a fundamental portfolio with the minimum semi-variance. A synthetic indicator is constructed for each company, describing its economic and financial situation. The method of constructing fundamental portfolios using semi-variance as the risk measure is presented. The differences between the semi-variance fundamental portfolios and variance fundamental portfolios are analysed on example of companies listed on the Warsaw Stock Exchange. 

scholarly journals The Errors-in-Variable Model in the Optimal Portfolio Construction

2007 ◽  
Vol 1 (2) ◽  
pp. 49-57 ◽  
Author(s):  
Anna Czapkiewicz ◽  
Małgorzata Machowska
Keyword(s):  
Linear Relationship ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Archival Data ◽  
Conventional Theory ◽  
Variable Model ◽  
Market Portfolio ◽  
Warsaw Stock Exchange ◽  
Portfolio Return

In the paper we consider a modification of Sharpe’s method used in classical portfolio analysis for optimal portfolio building. The conventional theory assumes there is a linear relationship between asset’s return and market portfolio return, while the influence of all the other factors is not included. We propose not to neglect them any more, but include them into a model. Since the factors in question are often hard to measure or even characterize, we treat them as a disturbances on random variables used by classical Sharpe’s method.The key idea of the paper is the modification of the classical approach by application of the errors-in-variable model. We assume that both independent (market portfolio return) as well as dependent (given asset’s return) variables are randomly distributed values related with each other by linear relationship and we build the model used for parameters’ estimation.To verify the model, we performed an analysis based on archival data from Warsaw Stock Exchange. The results are also included.

scholarly journals The Influence of Investors’ Mood on the Stock Prices: Evidence from Energy Firms in Warsaw Stock Exchange, Poland

Energies ◽  
2021 ◽  
Vol 14 (21) ◽  
pp. 7396
Author(s):  
Waldemar Tarczyński ◽  
Urszula Mentel ◽  
Grzegorz Mentel ◽  
Umer Shahzad
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Energy Sector ◽  
Causality Analysis ◽  
Weather Factors ◽  
Rates Of Return ◽  
Warsaw Stock Exchange ◽  
The Subject ◽  
Mutual Relations

The subject of this publication is an analysis of the sentiment of stock exchange investors in terms of making investment decisions in the energy sector of the Polish stock exchange. The investment mood is considered in the context of the possible impact of weather factors on investment decisions. Possible effects are verified in relation to the rates of return and the volume of trading of energy sector entities. The analysis is carried out both in terms of co-integration analyses as well as in econometric terms, in the cross-section of classic OLS models or causality analysis using VAR vector autoregression models. The main purpose of the issues discussed is the problem of indicating (illustrating) the presence or absence of mutual relations between weather factors and the stock market in terms of the methods considered.

scholarly journals The investment attractiveness of companies listed on the Warsaw Stock Exchange to Sovereign Wealth Funds

2016 ◽  
Vol 66 (2) ◽  
pp. 333-350 ◽  
Author(s):  
Dariusz Urban
Keyword(s):  
Logit Model ◽  
Pension Fund ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Sovereign Wealth Funds ◽  
Sovereign Wealth Fund ◽  
Earnings Per Share ◽  
Warsaw Stock Exchange ◽  
The Government ◽  
A Company

The aim of this study is to shed some light on the factors determining the investment decisions of Sovereign Wealth Funds. Using the financial data from companies listed on the Warsaw Stock Exchange, the author employs a logit model to analyse the probability that firms are targeted for investment by the Norwegian Sovereign Wealth Fund. These findings suggest that not only the growth of earnings per share increases the probability of such investment, but that also a company whose shares have been bought by the Government Pension Fund Global has, on average, a higher level of earnings per share than companies not targeted by the Fund. This study contributes to a deeper understanding of the investment activities of the world’s largest Sovereign Wealth Fund.

Pengaruh Keputusan Investasi, Kebijakan Hutang Dan Kebijakan Dividen Terhadap Nilai Perusahaan

2019 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Ivan Somantri ◽  
Hadi Ahmad Sukardi
Keyword(s):  
Firm Value ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Sampling Technique ◽  
Mining Sector ◽  
Dividend Policies ◽  
Negative Effect ◽  
Debt Policy ◽  
Debt Policies

This study aims to determine how to influence simultaneously and partially investment decisions, debt policy and dividend policy on firm value in mining sector companies listed on the Indonesia Stock Exchange for the period 2013-2017. The research method used in this study is descriptive and associative methods. The population in this study were mining sector companies listed on the Indonesia Stock Exchange in the period 2013-2017, which amounted to 43 companies. The sampling technique used in this study is non probability sampling with purposive sampling method, so that the number of samples obtained is 8 companies. While the data analysis used in this study is panel data regression analysis with the fixed effect method. The results of the study show that partially investment decisions and debt policies have a positive effect on firm value. While dividend policy has a negative effect on firm value. In addition, the results of the study simultaneously show that investment decisions, debt policies and dividend policies affect the value of the company. The amount of investment decisions, debt policy and dividend policy in contributing influence to earnings management is 34.14%.

Peran kepemilikan institusional, perencanaan pajak dan dewan komisaris asing terhadap nilai perusahaan

2019 ◽  
Vol 8 (2) ◽  
Author(s):  
Anita Ade Rahma ◽  
Lisa Nabawi ◽  
Ronni Andri Wijaya
Keyword(s):  
Significant Influence ◽  
Firm Value ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Total Sample ◽  
Tax Planning ◽  
Purposive Sampling ◽  
Institutional Leadership ◽  
Company Value

The purpose of this study is to analyze the role of institutional leadership, tax planning and foreign board of commissioners on firm value. The population in this study were 615 companies listed on the Indonesia Stock Exchange in 2015-2017. The sample was chosen using purposive sampling to get a total sample of 325 companies with a total of 975 observations of company data. The results of this study indicate that institutional leadership and tax planning have no role in increasing company value. While the foreign board of commissioners showed a significant influence on the value of the company. This proves that there is a need for diversity in the structure of the board that can trigger an increase in the value of the company. In addition, the presence of a foreign board is needed for the progress of the companyKeywords: Investment decisions; funding decisions; dividend policy; company value

Pengaruh keputusan investasi, keputusan pendanaan, dan kebijakan dividen terhadap nilai perusahaan yang terdaftar di Bursa Efek Indonesia

2019 ◽  
Vol 8 (2) ◽  
Author(s):  
Dina Patrisia ◽  
Muthia Roza Linda ◽  
Ursa Yulianti
Keyword(s):  
Dividend Policy ◽  
Stock Exchange ◽  
Investment Decision ◽  
Investment Decisions ◽  
Secondary Data ◽  
Sampling Technique ◽  
Total Sample ◽  
Manufacturing Companies ◽  
Positive Direction ◽  
Company Value

This study aims to analyze the effect of investment decisions, funding decisions, and dividend policy on the value of the company. This research is classified as causative research. The populations in this study are all Manufacturing companies listed on the Stock Exchange in 2012-2016. The sampling technique in this study is using purposive sampling technique with a total sample of 213 samples. The data used is secondary data. The data analysis method used is multiple regression. The results showed that investment decision variables affect the value of the company in a positive direction, funding decisions affect the value of the company in a negative direction, and dividend policy affects the value of the company with a positive direction on Manufacturing companies listed on the IDX. With this research, it is expected that researchers who can further conduct research related to factors that influence the value of the company whose impact is higher than what researchers have met. By using different proxy and data processing methods to produce more accurate data processingKeywords: Investment decisions; funding decisions; dividend policy; company value

scholarly journals The Corporate Social Responsibility of Polish Energy Companies

Energies ◽  
2021 ◽  
Vol 14 (13) ◽  
pp. 3815
Author(s):  
Magdalena M. Stuss ◽  
Zbigniew J. Makieła ◽  
Agnieszka Herdan ◽  
Gabriela Kuźniarska
Keyword(s):  
Corporate Social Responsibility ◽  
Literature Review ◽  
Social Responsibility ◽  
Stock Exchange ◽  
Energy Sector ◽  
Study Approach ◽  
Csr Strategies ◽  
Warsaw Stock Exchange ◽  
Corporate Social ◽  
Energy Companies

If corporate social responsibility (CSR) is expected to work efficiently, there should be a standardised approach for implementation of the CSR concept for all businesses, including companies operating in the energy sector. Although many companies declare compliance with CSR standards, further investigation should be undertaken to evaluate if and how those standards have been applied in practice. The aim of this research is to examine the level of standardisation of the CSR activities within Polish energy companies and explore the good practices developed by those companies. The Polish energy companies have been selected for the investigation as the literature review we conducted demonstrates that there is limited research in this area and there is a knowledge gap regarding how Polish energy companies apply CSR regulation in practice. To accomplish the stated aims, the following research questions were developed: (1) What is the essence of applying the CSR concept in Polish energy companies, and at what level of development is the concept applied? (2) To what extent do Polish energy companies have a common approach to the CSR concept, and in what areas are there differences? (3) To what extent have Polish energy companies applied global CSR standards and solutions? (4) Is there a gap between the declared measures of CSR and their actual implementation in Polish energy companies? The research methodology of this study is based on a systematic literature review of the sources acquired from databases such as ProQuest, Emerald, SCOPUS and the Jagiellonian University Library. The multiple case study approach was identified as the most suitable research tool. Companies for the study were selected according to their affiliation to the energy sector and listing on the main market of the Warsaw Stock Exchange. These two assumptions allowed us to base this study on the largest Polish energy companies that have international status. Six areas of CSR annual report disclosures have been identified and used for the investigation and analysis. This research looks at similarities and difference between these six aspects of CSRs disclosed by Polish energy companies. The investigation allows us to conclude that the top three energy companies use similar tools to build their CSR strategies: formalised CSR concept, published CSR reports, disclosure of CSR information on the company website, CSR related activities offered to stakeholders, obtained CSR certificates, and CSR awards. This indicates the existence of a standardised approach to CSR across Polish energy companies.

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