Ryzyko inwestycji a wymiar fraktalny

• Authors: Rafał Buła

Title variants

EN

Fractal Dimension as a Measure of Investment Risk

• Languages of publication: PL

Abstracts

EN

This article deals with problem of investment risk assessment by exploiting fractal dimension. In the first part of the article author presents the idea of treating fractal dimension of logarithmic cumulated returns as a risk measure. The relationship between fractal dimension and the riskiness of investment in case of its horizon tending to infinity is introduced. In the last part of the article results of empirical analysis confirming conclusions described are presented.

Keywords

PL

Fraktale; Indeks giełdowy; Ryzyko; Ryzyko inwestycyjne

EN

Fractal; Investment risk; Risk; Stock market indexes

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 155
• Pages: 50-466

Contributors

author

Rafał Buła

References

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Identifiers

ISSN

2083-8611