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

2021 ◽  
Vol 43 ◽  
pp. 154-178
Author(s):  
Dawid Giemza ◽  
Keyword(s):  
Expected Utility ◽  
Stock Exchange ◽  
Expected Utility Theory ◽  
Small Time ◽  
Risk Propensity ◽  
Stock Portfolios ◽  
Warsaw Stock Exchange ◽  
Historic Data ◽  
Investment Portfolios ◽  
Equity Holdings

Aim/purpose–The aim of the paper is to rank the optimal portfolios of shares of com-panies listed on the Warsaw Stock Exchange, taking into account the investor’s propen-sity to risk.Design/methodology/approach–Investment portfolios consisting of varied number of companies selected from WIG 20 index were built. Next, the weights of equity holdings of these companies in the entire portfolio were determined, maximizing portfolio’s expected (square) utility function, and then the obtained structures were compared between investors with various levels of risk propensity. Using Hellwig’s taxonomic development measure, a ranking of optimum stock portfolios depending on the inves-tor’s risk propensity was prepared. The research analyzed quotations from 248 trading sessions.Findings–The findings indicated that whilst there are differences in the weight struc-tures of equity holdings in the entire portfolio between the investor characterized by aversion to risk at the level of γ = 10 and the investor characterized by aversion to risk at the level of γ = 100, the rankings of the constructed optimum portfolios demonstrate strong similarity. The study validated, in conformity with the literature, that with the increase in the number of equity holdings in the portfolio, the portfolio risk initially decreases and then becomes stable at a certain level.Research implications/limitations–The study used data from the past as for which there is no guarantee that they will be adequate for the future. There is sensitivity to the selection of the period from which the historic data come. When changing the period of the analyzed historic data by a small time unit it may prove that the portfolio composi-tion will become totally different. Originality/value/contribution–The paper compares the composition of optimum stock portfolios depending on the investor’s propensity to risk. Their ranking was cre-ated using the taxonomic method for this purpose. Taking advantage of this method also additional variables can be taken into account,which describe and differentiate the port-folio and they can be assigned relevant significance depending on the investor’s prefer-ences. Keywords: optimal portfolio, expected rate of return on the portfolio, portfolio standard deviation, expected utility theory, multidimensional comparative analysis.JEL Classification:G10, G11.

scholarly journals ELEMENTS OF CONTROL THEORY APPLIED TO AN INVESTMENT PORTFOLIO IN THE CAPITAL MARKET. THE OPTIMAL TIME HORIZON FOR SELLING A PORTFOLIO

2015 ◽  
Vol 1 (310) ◽  
Author(s):  
Jerzy Tymiński
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Optimal Time ◽  
Dynamic Programming Method ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Investment Portfolios ◽  
Rational Investment ◽  
The Capital Market

The article presents a concept of capital management for assembling investment portfolios. Two optimization variants of a portfolio to be purchased are discussed. Portfolio I is structural, using the „traditional model”. To assemble Portfolio II, elements of reliability theory and the dynamic programming method were used. The article also analyses the sale of a portfolio with respect to the demand for financial instruments in the capital market. The presented concept dealing with rational investment decisions during transactions at the Warsaw Stock Exchange can also be used by managers to create an effective portfolio of financial instruments.

scholarly journals Beta Stability Over Bull and Bear Market on the Warsaw Stock Exchange

2016 ◽  
Vol 16 (1) ◽  
pp. 75-92 ◽  
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach ◽  
Bartosz Świderski
Keyword(s):  
Stock Exchange ◽  
Point Of View ◽  
Financial Investment ◽  
Bear Market ◽  
Index Model ◽  
Parameter Stability ◽  
Single Index Model ◽  
Warsaw Stock Exchange ◽  
Measuring Frequency ◽  
Investment Portfolios

Abstract Beta parameter is one of the commonly used measures of the investment risk of individual stock or portfolio. It plays a crucial role in modern portfolio theory particularly in management of financial investment portfolios. In the field of beta parameter, numerous studies have been conducted, especially beta properties stability in the context of the stock market cycle phases, measuring frequency of rate of return, and the length of a sample period. There are much fewer studies concerned beta parameter in the countries of Central and Eastern Europe which have undergone systemic transformation at the end of the previous century. From a scientific point of view, it is interesting to know how the beta parameter behaves in these countries. The main goal of this article is to examine the beta parameter stability over bull and bear market conditions on the Warsaw Stock Exchange. The paper presents an analysis of beta stability for 134 stocks of the largest companies listed at the WSE during years 2005–2013. To verify statistically the hypothesis of beta parameter stability, we used monthly returns in the Sharpe’s single-index model. In the first part of the article, we present a brief review of the literature and methodology of the study, while in the second part, the obtained results and conclusions are shown.

scholarly journals The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM

2014 ◽  
Vol 14 (2) ◽  
pp. 163-178 ◽  
Author(s):  
Stanisław Urbański ◽  
Paweł Jawor ◽  
Kacper Urbański
Keyword(s):  
Stock Exchange ◽  
Market Values ◽  
Developed Markets ◽  
Stock Portfolios ◽  
Study Results ◽  
Warsaw Stock Exchange ◽  
Penny Stocks ◽  
The Impact ◽  
Objective Research

Abstract Oryginality and objective – Research on the pricing of stocks listed on developed markets shows inexplicable deviation from the pricing that could be observed with CAPM validity. A similar anomaly is found on the Polish market. Reasons for inconsistent pricing with CAPM are unknown, and they are the main objective of this research. Method – The study is conducted using stocks listed on the Warsaw Stock Exchange in 1995–2012. Quintile stock portfolios are formed on the basis of strategies widely used by investors. The study is carried out in several modes. In the subsequent modes penny stocks with the market values below 0.5, 1.5, 5.0 and 15.0 PLN are eliminated. Results – It is conjectured that both penny stocks and improper procedures for the test portfolios forming contribute to inconsistent stock pricing in light of the CAPM. The studies show that results are in line with the extended conjectures. Also, study results indicate that speculative stocks are mostly penny stocks, however, it is not possible to explicitly state that penny stock are speculative.

scholarly journals Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE

2014 ◽  
Vol 14 (2) ◽  
pp. 270-286
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach ◽  
Bartosz Świderski
Keyword(s):  
Stock Exchange ◽  
Investment Risk ◽  
Portfolio Risk ◽  
Rates Of Return ◽  
Statistical Verification ◽  
Length Estimation ◽  
Warsaw Stock Exchange ◽  
The Subject ◽  
Investment Portfolios ◽  
The Empirical Analysis

Abstract In the modern portfolio theory investment risk plays a crucial role. It is the subject of numerous studies and publications, in particular in relation to the management of investment portfolios. Commonly used measure of investment management in equities is a beta parameter, which is used to estimate individual stock risk and portfolio risk. In particular, numerous studies the subject of which are the beta parameter properties such as stability in the context of the stock market cycle phases, intervalling effect, length estimation sample etc. The main objective of this paper is to investigate the intervalling effect on the beta parameter. The empirical analysis is carried out for the 33 largest companies of the Warsaw Stock Exchange (WSE) on a sample from the years 2005 to 2012 on the basis of daily, weekly and monthly rates of return. Statistical verification of the hypothesis of the importance of the frequency measuring the return of shares will be based on the single-index Sharpe’s model.

scholarly journals Are Beta Parameters Stable on the Warsaw Stock Exchange?

2015 ◽  
Vol 3 (3) ◽  
pp. 65-74 ◽  
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach ◽  
Bartosz Świderski
Keyword(s):  
Central And Eastern Europe ◽  
Stock Exchange ◽  
Rate Of Return ◽  
Investment Risk ◽  
Portfolio Investment ◽  
Financial Investment ◽  
Bear Market ◽  
Warsaw Stock Exchange ◽  
Measuring Frequency ◽  
Investment Portfolios

Beta parameter is one of the commonly used measurements of individual stockor portfolio investment risk and plays a crucial role in modern portfolio theoryparticularly in management of financial investment portfolios. Many studieshave been done in this field, particularly on its properties such as stability in thecontext of the stock market cycle phases, measuring frequency of rate of return,length of sample period. However, the number of studies concerning beta parameterin the counties of Central and Eastern Europe that have undergone systemictransformation at the end of the previous century is much lower. Therefore wedecided to study the changes of behavior of the beta parameter in those countries.The main aim of this article is to examine the beta parameter stability over bulland bear market conditions on the Warsaw Stock Exchange. The paper presentsan analysis of betas stability for 134 stocks of the largest companies listed at theWSE during years 2005–2013.

scholarly journals The Application of genetic algorithms for the selection of WSE companies in Warsaw for the investment portfolio.

2020 ◽  
Vol 14 (1) ◽  
Author(s):  
Beata Basiura ◽  
Joanna Motyczyńska
Keyword(s):  
Genetic Algorithms ◽  
Time Window ◽  
Stock Exchange ◽  
Selection Function ◽  
Investment Portfolio ◽  
Short Processing Time ◽  
Simulation Based ◽  
Warsaw Stock Exchange ◽  
Investment Portfolios ◽  
Selection Of

Portfolio analysis is a tool particularly intended for investors. Risk assessment and risk specification make the investor able to properly diversify and offset the portfolio. Broadly speaking, there are multiple tools destined for building up an efficient set of portfolios.One of them is Markowitz’s model theory postulating building up a portfolio determined on the basis of equilibrium between expected profit level as well as accepted level of risk assessment.In the context of this paper, the objective is to shed some light on creating investment portfolios based on either Markowitz's portfolio theory or evolutionary algorithm. The simulation based methods for building up a portfolio of approximately 40-50 companies listed out in the primary marketof the Warsaw Stock Exchange using the selection function proposed in the BA thesis were presented.Portfolio profit values have been evaluated in a dynamically shifted time window. The conducted analysis showed shifts in the economy at certain periods of time. The implemented genetic algorithms smoothly handled the optimization with a relatively short processing time of the task result.

scholarly journals The Value of GARP Investing: Evidence from the Indonesian Stock Exchange

2021 ◽  
Vol 5 (2) ◽  
pp. 9
Author(s):  
Panji Priyanto
Keyword(s):  
Stock Exchange ◽  
Investment Strategy ◽  
Growth Ratio ◽  
Value Stocks ◽  
Stock Portfolios ◽  
Price Earnings Ratio ◽  
Investment Returns ◽  
Homogeneity Of Variance ◽  
Investment Portfolios ◽  
Stock Portfolio

The purpose of this study was to examine whether or not the GARP in selecting the stock portfolios can provide a more stable growth rate of return when compared to the value stock and growth stock as well as to examine the stock return on value stock and growth stock based on the changes in its fundamentals. The population in this study was all companies listed on the Indonesia Stock Exchange (known as IDX) in the period of 2015-2019. The samples were selected using a comparative-quantitative approach and consisted of 20 companies: seven companies included in the value stock portfolio category and ten companies included in the portfolio category. Growth stock and three companies were included in the GARP's stock portfolio category. The formation of stock portfolios in the company's fundamentals was based on price to book value ratio, price-earnings ratio, and price-earnings growth ratio. This study used the ANOVA method equipped with SPSS by performing four tests: Homogeneity of Variance, Between-Subject, Post Hoc, and Homogenous Subset test. The results of this study show that there were differences in the portfolio return of value stocks, growth stocks, and GARP stocks on the Indonesia Stock Exchange in the period of 2015-2019. Meanwhile, the GARP investment strategy was stable for the growth when compared to the value investment and growth investment in the Indonesia Stock Exchange in the period of 2015-2019. The implementation of GARP concept in managing the investment portfolios and criteria for choosing the stocks have the profitable growth, first in forming the GARP because investors in the stock market tend to expect obtaining high investment returns with a limited time horizon. The implementation of GARP concept has prevented the investors from the value trap because the GARP strategy is a hybrid solution for the growth stock and value stock, thus. The GARP investors will experience a combination of returns

scholarly journals ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY

2019 ◽  
Vol 18 (4) ◽  
pp. 77-84
Author(s):  
Marcin Potrykus
Keyword(s):  
Crude Oil ◽  
Stock Exchange ◽  
Portfolio Theory ◽  
Maximum Efficiency ◽  
Minimal Risk ◽  
Average Increase ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Investment Portfolios

The purpose of the study is to assess whether the inclusion of investments in gold and/or crude oil improves an investment portfolio consisting of shares of enterprises included in the WIG20 index (traditional investments). All possible combinations of investment portfolios with minimal risk and maximum efficiency were tested. The portfolios were determined based on Markowitz’s portfolio theory. All results were compared with a naive strategy. In total, nearly 55,000 investment portfolios consisting of three, four or five investments were constructed. The study showed that the application of portfolio theory contributes to obtaining better results than a naive strategy. The minimum risk portfolios that included gold and crude oil showed a risk reduction of 0.39 p.p. on average and a maximum cumulative loss of 7.85 p.p. on average. Portfolios with maximum efficiency achieved an average increase in the rate of return of the investment portfolio of 0.024 p.p. and an average increase in efficiency of 0.0256.

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