Portfolio selection: method of the step by step assigned weights

• Authors: Pavlík Martin , Michalski Grzegorz , Lukáčik Martin

Title variants

PL

Wybór portfela: metoda wag dobieranych krok po kroku

• Languages of publication: EN

Abstracts

EN

The authors conceived a new simple method for creating the approximation of the border of investment opportunities. The method enumerates all the possibilities of assigning weights to the investment portfolio. It does not enable short sales. The software which the authors coded is written in VBA and also enables active management. The method is simple, accurate but demanding. The authors also created a simple methodology for testing the quality of the approximation of the border of investment opportunities.

Keywords

EN

modern portfolio theory; VBA in Excel; enumeration; portfolio choice; VaR; Value at Risk

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2015
• Issue: 3 (49)
• Pages: 78-97

Contributors

author

Pavlík Martin

author

Michalski Grzegorz

author

Lukáčik Martin

References

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• www.quantitativeresearch.eu.