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  1. 2 Studia Ekonomiczne

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  1. 2 2013

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  1. 1 Szkutnik W.

  2. 1 Węgrzyn T.

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Strategia CPPI dla portfela replikującego indeks WIG20

100%
Węgrzyn T.
Studia Ekonomiczne
|
2013
|
vol. 146
100-110
EN
The constant proportion portfolio insurance (CPPI) strategy is one of the strategies the main aim of which is to protect the minimum value of the investor's portfolio. That strategy is one of the active strategies - each changing in prices causes modifications in the portfolio structure. The CPPI strategy is used by some mutual funds that operate at the Polish stock market. The aim of the paper is to check if that strategy is efficient in the Polish market in a long time. It will be checked after implementing the CPPI strategy to the portfolio that replicates the WIG20 index.
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Statystyczna nieokreśloność w wycenie charakterystyk rynków finansowych

84%
Szkutnik W.
Studia Ekonomiczne
|
2013
|
vol. 124
45-62
EN
Considered in developing the financial model exemplification of the market in terms of statistical uncertainty was recognized as an example the task of modeling rational investor behavior. Shows how to determine the existence of an acceptable solution of the problem search strategy portfolio management, hedging given level of profitability and risk. Discusses the algorithm to construct the optimal portfolio management, derivative financial instruments under conditions of uncertainty in determining the profitability of this or any other financial instrument.
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