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Istotność składników portfela WIG20

100%
Guzik K., Smaga E.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2011
|
issue 875
131-145
EN
The paper proposes a ranking of WIG20 portfolio components based on the concept of the significance of components. We set an effective portfolio, composed of all of the components of a WIG20 portfolio, on a Markowitz curve. By the significance of components we understand a loss as an effect of a component being omitted. A loss itself can be measured by a variety of methods. In this paper the authors present a means of measuring the significance of components using the investor utility function, with the aid of which the optimum portfolio with maximal utility has been determined on the Markowitz curve. Next, each of the components is eliminated from the portfolio successively. The maximal utility of the optimal portfolio obtained from this elimination is then determined on the Markowitz curve. The suitable difference is the loss of utility for every tested component and this loss has been interpreted as the significance of the component. The ranking established in this paper has been compared to one obtained using the Sharpe coefficient.
2

Krzywa Markowitza jako obwiednia

100%
Smaga E., Guzik K.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2011
|
issue 876
5-12
EN
The article shows that the Markowitz curve can be interpreted as an envelope of hyperbolas (parabolas). Describing a set of investment opportunities as a family of curves dependent on established parameters serves as an introduction to solving this issue.
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