Zastosowanie wybranych elementów analizy fundamentalnej do wyznaczania portfeli optymalnych

• Authors: Adrianna Mastalerz-Kodzis , Ewa Pośpiech

Title variants

EN

Applications of Selected Fundamental Analysis Methods in Building an Optimal Portfolio

• Languages of publication: PL

Abstracts

EN

There are many methods that are used by investors in decision making process. The main approach in portfolio analysis is the classical one based on basic characteristics such as return rate and return rate variance. However, market analyses show that basing only on those measures when building an optimal portfolio is not the most effective way. The alternative approach is, for example, fundamental one which uses not only classical measures but also diagnostic features that characterize financial and economic condition of companies. The work presents practical applications of selected fundamental methods that are used for risk management on capital market (especially for designing an optimal portfolio). Moreover, elements of multivariate comparative analysis have been taken into considerations. The analysis provides methods that make it possible to examine phenomenon which is described by different variables, it allows to compare objects that are specified by many features. On the basis of data describing variables many synthetic measures can be built. These measures may be used to examine the attractiveness of investments and economic situation of companies. In analyses, three synthetic measures were provided for - module taxonomic measure of investment attractiveness (TMAI) and two non-module measures. Solving respective optimization problems (allowing for synthetic measures) fundamental optimal portfolios were built. To compare the results it was also built a classical portfolio based on Markowitz approach. The profit rate of each designed fundamental portfolio was about 50% and was higher than the profit rate of classical one. It confirms that using in analyses financial and economic indices may bring in interesting results.

Keywords

PL

Analiza fundamentalna; Mierniki taksonomiczne; Portfel inwestycyjny; Rynek kapitałowy; Wielowymiarowa analiza porównawcza; Zarządzanie ryzykiem

EN

Capital market; Fundamental analysis; Investment portfolio; Multi-dimensional comparative analysis; Risk management; Taxonomic indicators

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 146
• Pages: 68-78

Contributors

author

Adrianna Mastalerz-Kodzis

author

Ewa Pośpiech

References

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• Mastalerz-Kodzis A., Pośpiech E., Fundamental and Behavioral Methods in Investment Decision Making, w: Financial Management of Firms and Financial Institutions, Wydawnictwo Technicznego Uniwersytetu w Ostrawie, Ostrawa 2011, s. 250-257.
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• http://www.gpw.pl.
• http://www.bankier.pl.
• http://www.gielda.onet.pl.

Identifiers

ISSN

2083-8611