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MARKETING-FINANCIAL INTERFACE AS A SUBJECT OF RESEARCH INTEGRATING THE METHODS OF PORTFOLIO ANALYSIS (Interfejs marketingowo-finansowy jako przedmiot badan integrujacy metody analiz portfelowych)

100%
Golik-Gorecka G.
Nauki o Zarządzaniu
|
2011
|
issue 6
92-103
EN
This article presents the recapitulation of Australian marketing research on the perception of marketing-financial interface and the same interface in empirical case study research of Polish enterprises. The Australian firms use more methods than Polish firms because in Poland there are different barriers limiting the availability of this portfolio methods. Since interface still evolves - in interface of marketing and finances should not be used only financial criteria but also non-financial and different statistical methodology.
2

BAYESIAN PORTFOLIO SELECTION WITH MSV MODELS

100%
Pajor A.
Przegląd Statystyczny
|
2009
|
vol. 56
|
issue 1
40-55
EN
In the paper the authoress compares the predictive ability of discrete-time Multivariate Stochastic Volatility (MSV) models to optimal portfolio choice. She considers MSV models, which differ in the structure of the conditional covariance matrix (including the specifications with zero, constant and time-varying conditional correlations). Next, she constructs the optimal portfolio under the assumption that the asset returns are described by the multivariate stochastic volatility models. The authoress considers hypothetical portfolios, which consist of two currencies that were the most important for the Polish economy: the US dollar and euro. In the optimization process she uses the predictive distributions of future returns and the predictive conditional covariance matrix obtained from the MSV models.
3
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RATES OF RETURN DISTRIBUTIONS VARIATION - IMPLICATIONS FOR PORTFOLIO ANALYSIS

100%
Markowski L., Rutkowska-Ziarko A.
Olsztyn Economic Journal
|
2008
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vol. 3
|
issue 1
31-43
EN
The paper presents the properties of the rates of return distributions for Markowitz models and models with minimum semivariance. The special focus was placed on investigating the variation over time of the rates of return distributions for the studied portfolios. Non-parametric Kolmogorov-Smirnov tests and augmented Dickey-Fuller test were used for analysis of distributions over time. The studies showed that the distributions of rates of return for portfolios developed, particularly for high assumed rates of return were characterized by high variation. Considering selected distribution parameters SEM portfolios were more favorable than Markowitz portfolios although they showed a higher variation of distributions over time.
4

THE APPLICATION OF VARIANCE AND SEMI-VARIANCE FOR CONSTRUCTING STOCK PORTFOLIO IN CASE OF NORMAL DISTRIBUTION OF THE RETURN RATES

100%
Rutkowska-Ziarko A.
Przegląd Statystyczny
|
2007
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vol. 54
|
issue 4
105-116
EN
The aim of this article was to compare the Markowitz model with the model minimalising semi-variance for normal distributions of rates of return, as well as to verify the view that both models lead to the same optimum result for normal distribution of return rates. It was shown that even for normal distributions of rates of return, the Markowitz model and the model minimalising the semi-variance may indicate a different efficient portfolio.
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