PL EN


2010 | 1(45) | 60-72
Article title

ANALYSIS OF INVESTMENT FUND'S PORTFOLIO AGGRESSIVENESS USING ESTIMATOR OF RISK-TOLERANCE COEFFICIENT (Zastosowanie wskaznika tolerancji ryzyka do oceny poziomu agresywnosci portfela funduszu inwestycyjnego)

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Selected contents from this journal
Title variants
Languages of publication
PL
Abstracts
EN
The aim of this paper is an analysis of an investment fund's portfolio structure utilizing fund's risk-tolerance coefficient, which is the reciprocal of the Arrow - Pratt measure of absolute risk aversion. The risk-tolerance coefficient indicates the fund manager's willingness to accept greater risk in order of their aggressiveness. We examined the aggressiveness of selected 15 equity open-end mutual funds using daily and monthly data from January 2003 to January 2009.
Year
Issue
Pages
60-72
Physical description
Document type
ARTICLE
Contributors
author
  • Joanna Olbrys, Politechnika Bialostocka, Wydzial Informatyki, ul. Wiejska 45a, 15-351 Bialystok. Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
10PLAAAA08604
YADDA identifier
bwmeta1.element.5ded7c4f-930c-379b-b02b-4f31d2e25e5c
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