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  1. 2 Studia Ekonomiczne

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  1. 2 2013

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  1. 1 Iskra D.

  2. 1 Stachura M.

  3. 1 Wodecka B.

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Optymalizacja portfela z zastosowaniem kopuli niesymetrycznych

100%
Stachura M., Wodecka B.
Studia Ekonomiczne
|
2013
|
vol. 154
135-143
EN
This paper is some kind of a discussion about both the necessity and possibility of asymmetric copula applications. Presented deliberation is settled in the context of financial portfolio analysis that, in a specific way, requires taking the correlations of the component assets into consideration, which creates an opportunity for asymmetric copula implementation. Mentioned issues are exemplified by real two-asset portfolio optimization.
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Optymalizacja portfela inwestycyjnego ze względu na minimalny poziom tolerancji dla ustalonego VaR

84%
Iskra D.
Studia Ekonomiczne
|
2013
|
vol. 146
49-58
EN
The paper presents the optimization of securities portfolio. Taking into account level of acceptance α for fixed Value at Risk the optimization concerns the portfolio structure. The paper proposes a modeling of the memory effect using the multi-state Markov process where the state is determined by the sign of the last historical growth rate.
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