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IRT-based conjoint analysis in the optimization of banking products

100%
Sagan A., Rybicka A., Brzezińska J.
Econometrics. Ekonometria. Advances in Applied Data Analytics
|
2017
|
issue 3 (57)
47-58
EN
Conjoint measurement and analysis have a common underlying psychometric and statistical assumption concerning axioms of additivity and two-way frame of reference in preference measurement. However, whereas the former concept is widely used in the fundamental measurement of subject × object dominance structures as in IRT and Rasch measurement models, the latter is utilized in a broad family of object × object dominance structures in both compositional (i.e. Thurstone case III and V) as well as decompositional (classical conjoint experiments and BTL/alpha simulation) preference measurement models. These two traditions are rarely combined in one measurement model and research design that integrates subject × object × object measurement [Neubauer 2003]. The aim of the paper is to adopt and compare three types of preference measurement models in the area of banking products in Poland: 1. paired-comparisons and rating scale conjoint experiment, 2. IRT-based conjoint (Rasch and Birnbaum politomous models), 3. compositional Thurstone III/V models [Bockenholt 2006]. Part-worth utilities are used for product optimization and comparison across the estimated models.
2
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Iluzja, marzenia a rzeczywistość – bezpośrednia i niebezpośrednia inwestycja w indeksy giełdowe na przykładzie produktów inwestycyjnych

100%
Hadaś-Dyduch M.
Śląski Przegląd Statystyczny
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2016
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issue 14 (20)
185-202
EN
In the article the author attempts to compare direct and non-direct investment in the stock indices. By direct investment the author meansthe buying a particular index on the Warsaw Stock Exchange strictly preferred by the investor stock exchange. While the indirect investment is an investment in bank structured products based on stock indices, namely products of which the final result depends on the formation of the indices. It is assumed that structured products complement or even replace the traditional investments in stocks, bonds and deposits. The investment in a structured product is to be for investors a substitute for direct investment in the index and listed companies, raw materials, baskets investment, real estate, and other instruments. The question that arises here is: are structured products really substitutes for traditional investments and whether they give satisfactory returns to investors? The question was answered in the article defining the rate of return of structured products based on companies and stock indices ended 31.12.2013 on the Polish capital market. The results regarding the structured products launched and completed during the period 1.01.2000 – 31.12.2013 on the Polish capital market, were compared with the rate of return of selected indices. For the comparative analysis the following indices were selected: the Hang Seng, Dow Jones, WIG, WIG 20, Hang Seng, Nikkei, Shanghai Composite.
3
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Konstrukcja i stopa zwrotu portfeli inwestycyjnych

51%
Hadaś-Dyduch M.
Wiadomości Statystyczne. The Polish Statistician
|
2016
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issue 4
31-49
PL
Celem artykułu jest ocena efektywności portfeli inwestycyjnych. Portfele utworzono na podstawie autorskiego algorytmu, który szczegółowo opisano w artykule. Zaproponowany sposób konstrukcji portfeli inwestycyjnych i ich ocena wymaga określenia zmienności i średniej stopy zwrotu zawartych w portfelu produktów strukturyzowanych, jak również określenia ryzyka każdego produktu. Parametry te obliczono na podstawie szeregu danych otrzymanego poprzez zastosowanie „przesuwnego okna wstecznego”, polegającego na tym, że każdy produkt strukturyzowany uwzględniony w badaniu uruchamiano hipotetycznie przez okres jednego roku co tydzień.
EN
The aim of the article is to assess the effectiveness of investment portfolios. Portfolios are established under the proprietary algorithm that is described in detail in the article. The proposed method of construction of investment portfolios and their evaluation, requires the determination of the volatility and average return included in the portfolio of structured products, as well as determine the risk for each product. These parameters are calculated from the number of data obtained by applying a ”backward the window”, consisting in the fact that each structured product included in the study was run in theory for one year every week.
RU
В статье была представлена оценка эффективности инвестиционных портфелей. Портфели были разработаны на основе авторского алгоритма, который детально характеризуется в статье. Предложенный способ конструкции инвестиционных портфелей и их оценка, требует определения вариации и средней ставки возврата включенных в портфель структурированных продуктов, а также определения риска каждого продукта. Эти параметры рассчитывались на основе числа данных, полученного в результате использования «скользящего окна в обратном направлении», состоящегося в том, что каждый из структурированных продуктов включенных в обследование гипотетически запускался каждую неделю в течение одного года.
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