Software for the demonstration of the fundaments of portfolio selection

• Authors: Pavlík Martin , Lukáčik Martin , Michalski Grzegorz
• Languages of publication: EN

Abstracts

EN

Financial liquidity interconnections are close to be a portfolio investment problem. The following article is a result of the Slovak–Polish cooperation, between partners from University of Economics in Bratislava and Wroclaw University of Economics. We have created a set of three programs in MS Excel which calculate the approximation of the border of the investment opportunities. The applications are continually developed. All programs are written in VBA for Excel. The following article introduces the second and the third program in which we have coded the fundaments of the portfolio selection to the VBA Excel. Their names are FINV and IDPORT. The FINV calculates the border of investment opportunities by using matrix algebra. FINV works with the enabled short sales. IDPORT calculates the border of investment opportunities by using SOLVER, which is the optimization library. The software has many settings which will be described in the article. It demonstrates the fundaments of the theory of investment portfolio and it is suitable for the teaching purposes at this stage of the development.

Keywords

EN

Markowitz diversification; VBA; Visual Basic for Application; Excel; risk; re¬turn; standard deviation; Jarque-Bera statistics

• Publisher: Uniwersytet Ekonomiczny we Wrocławiu. Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2014
• Issue: 3(45)
• Pages: 122-137

Contributors

author

Pavlík Martin

author

Lukáčik Martin

author

Michalski Grzegorz

References

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• www.mpavlik.net