ANALYSIS OF INVESTMENT FUND'S PORTFOLIO AGGRESSIVENESS USING ESTIMATOR OF RISK-TOLERANCE COEFFICIENT (Zastosowanie wskaznika tolerancji ryzyka do oceny poziomu agresywnosci portfela funduszu inwestycyjnego)

• Authors: Olbrys Joanna
• Languages of publication: PL

Abstracts

EN

The aim of this paper is an analysis of an investment fund's portfolio structure utilizing fund's risk-tolerance coefficient, which is the reciprocal of the Arrow - Pratt measure of absolute risk aversion. The risk-tolerance coefficient indicates the fund manager's willingness to accept greater risk in order of their aggressiveness. We examined the aggressiveness of selected 15 equity open-end mutual funds using daily and monthly data from January 2003 to January 2009.

Keywords

EN

INVESTMENT FUNDS; RISK-TOLERANCE COEFFICIENT

Discipline

• ECONOMICS: ECONOMICS

• Journal: Optimum. Studia Ekonomiczne
• Year: 2010
• Issue: 1(45)
• Pages: 60-72
• Document type: ARTICLE

Contributors

author

Olbrys Joanna

• Joanna Olbrys, Politechnika Bialostocka, Wydzial Informatyki, ul. Wiejska 45a, 15-351 Bialystok. Poland

Identifiers

CEJSH db identifier

10PLAAAA08604