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2011 | 6 | 1 | 143-154
Article title

The Effectiveness of Simple Diversification in Comparison to Markowitz Portfolio Theory

Title variants
Languages of publication
EN
Abstracts
EN
Analysis of capital investments at Warsaw Stock Exchange during the period of from 2004 through 2009 was the main goal of the study. The analysis was conducted on the base of the classic Markowitz portfolio theory and construction of multi-component balanced portfolios. The studies conducted indicate significant advantage of portfolio investments over the investments in individual securities. The largest risk decrease was recorded in case of the portfolios consisting of up to 5 securities. Markowitz optimization applied in the studies allowed finding the portfolios much more secure, at the assumed rate of return, than the multi-component balanced portfolios. The results indicate significant importance of optimization models in the design of the portfolios of securities.
Year
Volume
6
Issue
1
Pages
143-154
Physical description
Dates
published
2011-06-30
Contributors
  • Chair of Quantitative Methods, University of Warmia and Mazury in Olsztyn
  • Chair of Quantitative Methods, University of Warmia and Mazury in Olsztyn
References
  • Bołt T.W., Miłobędzki P. 1996. Efekty dywersyfikacji portfeli na GPW w Warszawie. Opracowanie wykonane w ramach BW 2330-5-0165-6, Uniwersytet Gdański Wydział Zarządzania, Sopot.
  • Copeland J.E., Weston Т.Е. 1979. Financial Theory and Corporate Policy. Addison Wesley, New York.
  • Elton E.J., Gruber M.J. 1998. Nowoczesna Teoria Portfelowa i Analiza Papierów Wartościowych. WIG PRESS, Warszawa.
  • Haugen R.A. 1996. Teoria Nowoczesnego Inwestowania. WIG PRESS, Warszawa.
  • Jajuga K., Jajuga T. 1998. Inwestycje. PWN, Warszawa.
  • Markowitz H.M. 1952. Portfolio Selection. The Journal of Finance, 7: 77-91.
  • Markowitz H.M. 1959. Portfolio Selection Efficient Diversification of Investments. J. Wiley, New York. Markowski L. 2001. Empirical verification of the Sharpe's Single-Index Model - the example of the
  • Warsaw Stock Exchange. Economic Sciences, 4: 292-308. Rutkowska-Ziarko A. 2005. Metody znajdowania portfela efektywnego dla semiwariancji. Badania Operacyjne i Decyzje, 3-4: 63-83.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-68553e72-971f-45df-93ce-700c08ed9df6
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