Results found: 2

Search results

Search:
in the keywords: Markowitz model

Sort By:

Limit search:

Fundamental Portfolio Construction Based on Semi-Variance

100%

Rutkowska-Ziarko A.

Olsztyn Economic Journal

2013

vol. 8

issue 2

151-162

In models for creating a fundamental portfolio, based on the classical Markowitz model, the variance is usually used as a risk measure. However, equal treatment of negative and positive deviations from the expected rate of return is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations only. However, finding the fundamental portfolio with minimum semi-variance is not possible with the existing methods.The aim of the article is to propose and verify a method which allows to find a fundamental portfolio with the minimum semi-variance. A synthetic indicator is constructed for each company, describing its economic and financial situation. The method of constructing fundamental portfolios using semi-variance as the risk measure is presented. The differences between the semi-variance fundamental portfolios and variance fundamental portfolios are analysed on example of companies listed on the Warsaw Stock Exchange.

Can we invest on the basis of equity risk premia and risk factors from multi-factor models ?

75%

Pawel S., Robert Ś., Mateusz W.

Economics and Business Review

2016

vol. 2(16)

issue 3

78-98

We examine two investment algorithms built on the weekly data of world equity indices for emerging and developed countries in the period 2000-2015. We create seven risk factors using additional data about market capitalization, book value, country GDP and betas of equity indices. The first strategy utilizes the theoretical value of equity risk premium from the seven-factor Markov-switching model with exogenous variables. We compare theoretical with the realized equity risk premium for a given index to undertake the buy/sell decisions. The second algorithm works only on eight risk factors and applies them as input variables to Markowitz models with alternative optimization criteria. Finally we note that the impact of risk factors on the final results of investment strategy is much more important than the selection of a particular econometric model in order to correctly evaluate the equity risk premium.

Refine search results

1 Economics and Business Review

1 Olsztyn Economic Journal

1 Mateusz W.

1 Pawel S.

1 Robert Ś.

1 Rutkowska-Ziarko A.

1 2016

1 2013

Search results

Fundamental Portfolio Construction Based on Semi-Variance

Can we invest on the basis of equity risk premia and risk factors from multi-factor models ?