THE APPLICATION OF VARIANCE AND SEMI-VARIANCE FOR CONSTRUCTING STOCK PORTFOLIO IN CASE OF NORMAL DISTRIBUTION OF THE RETURN RATES

• Authors: Rutkowska-Ziarko A.
• Languages of publication: PL

Abstracts

EN

The aim of this article was to compare the Markowitz model with the model minimalising semi-variance for normal distributions of rates of return, as well as to verify the view that both models lead to the same optimum result for normal distribution of return rates. It was shown that even for normal distributions of rates of return, the Markowitz model and the model minimalising the semi-variance may indicate a different efficient portfolio.

Keywords

EN

NORMAL DISTRIBUTION.; PORTFOLIO ANALYSIS; SEMI-VARIANCE

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2007
• Volume: 54
• Issue: 4
• Pages: 105-116
• Document type: ARTICLE

Contributors

author

Rutkowska-Ziarko A.

• A. Rutkowska-Ziarko, Uniwersytet Warminsko-Mazurski w Olsztynie, Wydzial Nauk Ekonomicznych, Katedra Metod Ilosciowych, ul. Oczapowskiego 4, 10-710 Olsztyn, Poland

Identifiers

CEJSH db identifier

08PLAAAA03697448