PL EN


2013 | 47 | 3 |
Article title

Parametry portfela zawierającego inwestycje alternatywne

Content
Title variants
Languages of publication
PL
Abstracts
PL
Artykuł nie zawiera abstraktu w języku polskim
EN
The article briefly describes the portfolio characteristics connected with the distribution of its rates of return and presents the results of empirical studies on the parameters of portfolios including particular alternative investments (commodities, precious metals, real estate fund, hedge funds, investable wine).
Year
Volume
47
Issue
3
Physical description
Dates
published
2013
online
2015-07-23
Contributors
References
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  • Blümke A., Jak inwestować w  produkty strukturyzowane, Oficyna a  Wolters Kluwer business, Warszawa 2011.
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  • Chunhachinda P., Dandapani K., Hamid S., Prakash A.J., Portfolio selection and skewness: Evidence from international stock markets, “Journal of Banking and Finance” 1997, nr 21.
  • Harvey C.R., Liechty J.C., Liechty M.W., Mäuller P., Portfolio selection with higher moments, Working Paper. Duke University 2003.
  • Jondeau E., Rockinger M., Optimal Portfolio Allocation under Higher Moments, “European Financial Management” 2006, vol. 12, nr 1.
  • Kim T.-H., White H., On more robust estimation of skewness and kurtosis, “Finance Research Letters” 2004, nr 1.
  • Kostakis A., Muhammad K., Siganos A., Higher co-moments and asset pricing on London Stock Exchange, “Journal of Banking and Finance” 2012, nr 36.
  • Mencía J., Sentana E., Multivariate location-scale mixtures of normals and mea-variance-skewness portfolio allocation, “Journal of Econometrics” 2009, nr 153.
  • Ostrowska E., Portfel inwestycyjny klasyczny i  alternatywny, Wydawnictwo C.H. Beck, Warszawa 2011.
  • Péiro A., Skewness in financial returns, “Journal of Banking and Finance” 1999, nr 23.
  • Sobczyk M., Statystyka. Podstawy teoretyczne, przykłady, zadania, Wydawnictwo UMCS, Lublin 1998.
  • Sun Q., Yan Y., Skewness persistence with optimal portfolio selection, “Journal of Banking and Finance” 2003, nr 27.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.ojs-doi-10_17951_h_2013_47_3_249
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