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Konstrukcja optymalnych portfeli z zastosowaniem metod analizy fundamentalnej - ujęcie dynamiczne

100%
Mastalerz-Kodzis A.
Studia Ekonomiczne
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2013
|
vol. 163
73-83
EN
The main purpose of this article is to construct an optimal, fundamental portfolio using multivariate compare analysis methods with dynamical parameters. The article consist of two parts. The first part is methodological, and the second is empirical one.
2
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Modelowe ujęcie polityki dywidend z punktu widzenia inwestora rynku kapitałowego oraz emitenta

100%
Jabłoński B.
Studia Ekonomiczne
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2013
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vol. 159
39-50
EN
The article discusses the issue of a model approach to dividend policies from the point of view of an investor and an emitent. The point of view of the investor was presented as a possibility of creating portfolios of securities made only of dividend companies in comparison to a popular method of creating dividend portfolios: the Markowitz method. On the other hand, an approach to dividend policies from the point of view of an emitent of securities was described as a possibility of applying fuzzy numbers and logit models in creating the strategy of the division of a company's profit. In addition, in the article the specificity of dividends and a potential influence of the paid out dividend on the behavior of the listings of shares of the companies was described
3
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Wyznaczanie portfela wielokryterialnego w warunkach niepełnej informacji liniowej

100%
Pośpiech E.
Studia Ekonomiczne
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2014
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vol. 191
57-64
EN
The article presents an application of chosen multi-criteria decision making method - the AHP method, under conditions of linear par tial information, in portfolio selection. Selecting a portfolio is a problem of choosing these quoted companies that give good profit. The problem of building a portfolio can be treated as a multi-criteria problem where some diagnostic features that characterize financial and economic condition of companies can be used as criteria. In the paper, the multi-criteria decision making method AHP was used under conditions of linear partial information (the criteria weights are not known precisely, only some linear cons traints on them are known). The approach enables to create a ranking of considered objec ts and may help to select the best listed companies to the portfolio.
4
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Przypadkowość wyników inwestycyjnych FIO funkcjonujących na polskim rynku kapitałowym

84%
Karpio K., Żebrowska D.
Studia Ekonomiczne
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2013
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vol. 154
46-52
EN
The dynamic development of the investment funds market in Poland lets us carry out research regarding different aspects of their functioning. A potential participant of the funds must especially answer such questions as: Which fund should he choose?, Has already chosen fund got any chances to become the leader for a longer period of time? The work is devoted to one of the variants of answering the problem that is being discussed, especially it analyses the repetitiveness of the FIO investment results achieved in 2003-2007 and 2007-2011. From the funds' customers' points of view, this is a fundamental issue because entrusting their savings with a "good" fund, one wants to know whether it still will be achieving satisfactory investment results. Maybe a good ranking position at a certain moment is accidental? The research was done on the funds from different risk categories such as equity funds, balanced ones.
5
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Modele wyboru portfela akcji z warunkiem dominacji lub prawie dominacji stochastycznych

84%
Michalska E.
Studia Ekonomiczne
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2013
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vol. 135
88-101
EN
In the paper models of share portfolio selection with first order or second order almost stochastic dominance constraints (for discrete random variables) are proposed. There are several simple examples as an illustration of our models.
6
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Zastosowanie prawie dominacji stochastycznych w preselekcji akcji

84%
Michalska E., Dudzińska-Baryła R.
Studia Ekonomiczne
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2013
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vol. 162
158-167
EN
The stochastic dominance rules are a very popular tool in the support of decision making in various fields of economics and management. However the selection of the best alternative on the basis of stochastic dominance is sometimes impossible due to incomparability of alternatives. Some particular properties of almost second degree stochastic dominance (which stochastic dominance do not posses) allow to compare all elements of the set of random alternatives and to build a ranking of them. The aim of the article is to propose a stocks preselection method based on almost stochastic dominance. Our method allow to determine the set of the best stocks and thereby to reduce the number of stocks as a potential elements of a portfolio. Such reduction is very important nowadays because with every year more and more stocks are quoted on Stock Exchange in Warsaw.
7
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Huraoptymizm rekomendacji maklerskich w okresie giełdowej dekoniunktury

84%
Dąbrowski P.
Studia Ekonomiczne
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2013
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vol. 174
88-104
EN
Brokerage recommendations suggest investors buying or selling financial instruments. Their quality is variable in long time and is better during up-trends. But the most surprising thing is optimism of financial institutions - they recommend buying stocks (over 70% cases!) despite of bad sentiments and bear trends on the markets. In the article the results of Polish blue-chip stocks recommendation exploration are presented. It covers 2007-2011 and tries to explain why during hard times there are significant dominance of buying "recos".
8
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Wpływ wyboru metody wielokryterialnej na strukturę i opłacalność portfela

84%
Pośpiech E.
Studia Ekonomiczne
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2015
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vol. 221
50-60
PL
W opracowaniu podjęto zagadnienie doboru spółek do portfela akcji z zastosowaniem wybranych metod wielokryterialnej optymalizacji dyskretnej. Metody wielokryterialne umożliwiają uporządkowanie lub wyodrębnienie grup preferencji obiektów. Wybór walorów giełdowych do portfela może być traktowany jako zagadnienie wielokryterialne ze względu na to, iż decydent jest zainteresowany wyborem najlepszych spółek, tzn. dających największy możliwy zysk przy minimalnym ryzyku. Najczęściej jednak te dwie charakterystyki są dodatnio skorelowane i trudno jest, bez metodycznego podejścia oraz bez dodatkowych informacji na temat spółki, dokonać właściwego wyboru. Dlatego też dobrze jest wspomóc się wskaźnikami charakteryzującymi sytuację finansowo-ekonomiczną spółek, traktując uwzględnione wskaźniki jako kryteria wyboru. Uzyskany ranking lub grupy preferencji stanowią podstawę konstrukcji portfela opartego na klasycznym modelu Markowitza. Celem opracowania jest porównanie uzyskanych portfeli pod względem ich opłacalności i uzyskanie odpowiedzi na pytanie, czy dobór metody selekcji ma znaczący wpływ na opłacalność portfela.
EN
The purpose of the paper is to compare the structure and profitability of selected portfolios based on Markowitz approach with the use of chosen multi-criteria methods. An important thing for the decision-maker is to make the best decision when there are many alternatives (objects) that are evaluating under differing criteria. Building a portfolio is such a problem. The investor’s main purpose is to select these objects (quoted companies) that have high return rate and low variance. Besides, an important issue in the problem of selecting companies to the portfolio, confirmed by many researchers, is to include in analyses diagnostic features that characterize financial and economic condition of companies. This approach makes that the problem of selecting companies to the portfolio can be treated as multi-criteria decision problem with the fundamental indices as criteria. There are many multi-criteria methods. Mainly, some of them enable to build rankings, others create groups of preferences. In the paper, four methods were applied: the AHP method, the PROMETHEE one (in these two methods rankings are created as a result), ELECTRE I and ELECTRE III (which are methods of the second, mentioned here, type).
9
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Analiza porównawcza wybranych metod grupowania spółek giełdowych

67%
Pośpiech E.
Studia Ekonomiczne
|
2016
|
vol. 297
153-165
PL
W opracowaniu jest rozważany problem doboru walorów giełdowych do portfela akcji. W tym celu, na podstawie wybranych metod uwzględniających podejście wielowymiarowe oraz ujęcie wielokryterialne, wyselekcjonowano grupy spółek, które mogłyby stanowić podstawę konstrukcji portfela. Posłużono się wielokryterialną metodą ELECTRE I pozwalającą na wyodrębnienie grup preferencji obiektów oraz zastosowano narzędzia analizy wielowymiarowej – miernik syntetyczny oraz analizę skupień. W analizach wykorzystano wskaźniki fundamentalne określające kondycję spółek oraz standardowe mierniki stosowane w analizie portfelowej (oczekiwaną stopę zwrotu oraz wariancję stóp zwrotu). Zbudowane na bazie wyłonionych grup portfele oparte na modelu Markowitza wskazują, którą z metod selekcji najlepiej zastosować.
EN
The purpose of the paper is to compare selected clustering methods which may be used to the portfolio selection. To achieve this purpose multi-criteria and multivariate approaches were used. In multi-criteria approach, the ELECTRE I method was applied which enables to create groups of preferences, in the multivariate one – synthetic measure and clustering methods were involved. In analyses, diagnostic features that characterize financial and economic condition of companies, as well as classical measures as expected rate of return and variance of return rates, were used. Portfolios built on the basis of selected clustering methods and Markowitz approach, may give the answer if the selection method may cause significant differences in the portfolio profitability.
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