RATES OF RETURN DISTRIBUTIONS VARIATION - IMPLICATIONS FOR PORTFOLIO ANALYSIS

• Authors: Markowski Leslaw , Rutkowska-Ziarko Anna
• Languages of publication: EN

Abstracts

EN

The paper presents the properties of the rates of return distributions for Markowitz models and models with minimum semivariance. The special focus was placed on investigating the variation over time of the rates of return distributions for the studied portfolios. Non-parametric Kolmogorov-Smirnov tests and augmented Dickey-Fuller test were used for analysis of distributions over time. The studies showed that the distributions of rates of return for portfolios developed, particularly for high assumed rates of return were characterized by high variation. Considering selected distribution parameters SEM portfolios were more favorable than Markowitz portfolios although they showed a higher variation of distributions over time.

Keywords

EN

PORTFOLIO ANALYSIS; SEMI-VARIANCE; TIME SERIES STATIONARITY

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Uniwersytet Warmińsko-Mazurski w Olsztynie
• Journal: Olsztyn Economic Journal
• Year: 2008
• Volume: 3
• Issue: 1
• Pages: 31-43
• Document type: ARTICLE

Contributors

author

Markowski Leslaw

author

Rutkowska-Ziarko Anna

• Leslaw Markowski, Uniwersytet Warminsko-Mazurski w Olsztynie, Katedra Metod Ilosciowych, ul. Oczapowskiego 4, 10-957 Olsztyn, Poland

Identifiers

CEJSH db identifier

10PLAAAA076621