Alternatywne względem ujęcia Markowitza podejście do szacowania stopy zwrotu z portfela

• Authors: Michał Stachura , Barbara Wodecka

Title variants

EN

Alternative Formulation of Rate-of-Return Estimation in Comparison with Markowitz Approach

• Languages of publication: PL

Abstracts

EN

In the study, two approaches of rate-of-return estimation are compared. One of them, that predominates in practice and that is called by the authors heterogeneous, refers to a separate rate-of-return estimation for every individual asset, and then to an interpolation of obtained values in order to asses rate of return for any portfolio with priorly given proportions of assets. The heterogeneous approach is based on premises concerning a proper method of rate-of-return estimation for individual assets, and a specific method of interpolating estimates for any portfolio as well. In contrast, the other approach, called homogeneous, refers to uniform treatment of all portfolios without exceptions, which leads to a direct rate-of-return estimation for any portfolio with priorly given proportions of assets. The essence of both approaches and discrepancies between them are illustrated with use of properly chosen examples (arbitrary and empirical). Examples' analysis indicates some advantage of the homogeneous approach over the heterogeneous one.

Keywords

PL

Analiza portfelowa; Stopa zwrotu akcji; Teoria portfelowa Markowitza

EN

Markowitz portfolio theory; Portfolio analysis; Stock rate of returns

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 154
• Pages: 92-101

Contributors

author

Michał Stachura

author

Barbara Wodecka

References

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• Markowitz H., Portfolio selection. Efficient diversification of investments, John Wiley & Sons, New York 1959.
• Tarczyński W., Rynki kapitałowe. Metody ilościowe, t. 2, Placet, Warszawa 1997.
• R Development Core Team (2011). R: A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. ISBN 3-900051-07-0, URL http://www.R-project.org/.

Identifiers

ISSN

2083-8611