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 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 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.

scholarly journals Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets

2010 ◽  
Vol 9 (1) ◽  
pp. 34-51
Author(s):  
Grzegorz Mentel
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Risk Measures ◽  
Market Risk ◽  
Investment Risk ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Financial Portfolio

Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.

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 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 Linear and non-linear optimization models for the selection of investment portfolio

2021 ◽  
Vol 47 ◽  
Author(s):  
Sigutė Vakrinienė ◽  
Gintautas Misevičius
Keyword(s):  
Linear Programming ◽  
Risk Evaluation ◽  
Statistical Data ◽  
Linear Optimization ◽  
Investment Portfolio ◽  
Non Linear Programming ◽  
Non Linear ◽  
The Baltic ◽  
Investment Portfolios ◽  
Selection Of

This research suggests a maxmin model for the selection of investment portfolios. The risk evaluation coefficients are introduced. The components of portfolio are found by solving linear programming task in onemodel and non-linear programming task in the other.  In the experimental part of the research ineffective portfolios exerted from these models are tested referring to the statistical data of the Baltic stock market. Realizations of the suggested portfolios with different risk coefficient values are compared to realizations of effective (Pareto optimal) portfolios.

scholarly journals Bimatrix game model for the selection of investment portfolio

2009 ◽  
Vol 50 ◽  
Author(s):  
Sigutė Vakarinienė ◽  
Gintautas Misevičius
Keyword(s):  
Linear Programming ◽  
Nash Equilibria ◽  
Statistical Data ◽  
Game Model ◽  
Investment Portfolio ◽  
Bimatrix Game ◽  
Experimental Part ◽  
Investment Portfolios ◽  
Market Indexes ◽  
Selection Of

This research suggests a Nash equilibria model for the selection of investment portfolios. The components of portfolio are found by solving linear programming task with binary variables. In the experimental part of the research ineffective portfolios exerted from this model are tested referring to the statistical data of the stock market indexes of several countries. Realizations of the suggested portfolios are compared to realizations of effective portfolios.

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.

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