Strategia CPPI dla portfela replikującego indeks WIG20

• Authors: Tomasz Węgrzyn

Title variants

EN

The CPPI Strategy for the Portfolio That Replicates the WIG20 Index

• Languages of publication: PL

Abstracts

EN

The constant proportion portfolio insurance (CPPI) strategy is one of the strategies the main aim of which is to protect the minimum value of the investor's portfolio. That strategy is one of the active strategies - each changing in prices causes modifications in the portfolio structure. The CPPI strategy is used by some mutual funds that operate at the Polish stock market. The aim of the paper is to check if that strategy is efficient in the Polish market in a long time. It will be checked after implementing the CPPI strategy to the portfolio that replicates the WIG20 index.

Keywords

PL

Ryzyko systemowe; Warszawski Indeks Giełdowy (WIG); Zarządzanie portfelem inwestycyjnym

EN

Management of investment portfolio; Systemic risk; Warsaw Stock Exchange Index

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 146
• Pages: 100-110

Contributors

author

Tomasz Węgrzyn

References

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Identifiers

ISSN

2083-8611