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Ranking of optimal stock portfolios determined on the basis of expected utility maximization criterion

100%
Giemza D.
Journal of Economics and Management
|
2021
|
vol. 43
157-178
EN
Aim/purpose – The aim of the paper is to rank the optimal portfolios of shares of companies listed on the Warsaw Stock Exchange, taking into account the investor’s propensity to risk. Design/methodology/approach – Investment portfolios consisting of varied number of companies selected from WIG 20 index were built. Next, the weights of equity holdings of these companies in the entire portfolio were determined, maximizing portfolio’s expected (square) utility function, and then the obtained structures were compared between investors with various levels of risk propensity. Using Hellwig’s taxonomic development measure, a ranking of optimum stock portfolios depending on the investor’s risk propensity was prepared. The research analyzed quotations from 248 trading sessions. Findings – The findings indicated that whilst there are differences in the weight structures of equity holdings in the entire portfolio between the investor characterized by aversion to risk at the level of γ = 10 and the investor characterized by aversion to risk at the level of γ = 100, the rankings of the constructed optimum portfolios demonstrate strong similarity. The study validated, in conformity with the literature, that with the increase in the number of equity holdings in the portfolio, the portfolio risk initially decreases and then becomes stable at a certain level. Research implications/limitations – The study used data from the past as for which there is no guarantee that they will be adequate for the future. There is sensitivity to the selection of the period from which the historic data come. When changing the period of the analyzed historic data by a small time unit it may prove that the portfolio composition will become totally different. Originality/value/contribution – The paper compares the composition of optimum stock portfolios depending on the investor’s propensity to risk. Their ranking was created using the taxonomic method for this purpose. Taking advantage of this method also additional variables can be taken into account, which describe and differentiate the portfolio and they can be assigned relevant significance depending on the investor’s preferences.
2
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Identyfikacja dostępności komunikacyjnej miast na podstawie wskaźników wyposażenia infrastrukturalnego w Polsce

86%
Górniak J.
Studia Ekonomiczne
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2015
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vol. 249
145-154
PL
Celem artykułu jest dokonanie identyfikacji dostępności komunikacyjnej miast zlokalizowanych w poszczególnych województwach w Polsce w 2013 r. Rozważania oparto na danych statystycznych charakteryzujących dostępność transportową za pomocą wskaźników wyposażenia infrastrukturalnego. Do pomiaru dostępności wykorzystano metody wielowymiarowej analizy porównawczej.
EN
The aim of this article is to identify the transport accessibility of towns located in different voivodships in Poland in 2013. Considerations based on statistical data characterizing the transport accessibility using indicators of infrastructure. To measure the accessibility were used methods of multidimensional comparative analysis.
3
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Klimat inwestycyjny w krajach Bałkanów Zachodnich oraz Unii Europejskiej – analiza porównawcza

72%
Wawrzyniak D.
Studia Ekonomiczne
|
2019
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vol. 379
127-140
PL
Celem artykułu jest identyfikacja kluczowych stymulant i destymulant klimatu inwestycyjnego dla krajów Bałkanów Zachodnich. Przeprowadzono także porównanie klimatu inwestycyjnego w krajach Unii Europejskiej i Bałkanów Zachodnich. Analizą objęto 28 państw wchodzących obecnie w skład Unii Europejskiej oraz 4 kraje Bałkanów Zachodnich. Badanie przeprowadzono przy wykorzystaniu metody wzorca rozwoju Hellwiga. Zgodnie z wynikami analizy przeprowadzonej dla roku 2016 niska stopa opodatkowania przedsiębiorstw stanowi główny czynnik, spośród uwzględnionych w badaniu, który może sprzyjać podejmowaniu inwestycji w krajach Bałkanów Zachodnich, zaś niska ocena praworządności może w głównej mierze do tego zniechęcać. Klimat inwestycyjny w krajach Bałkanów Zachodnich jest stosunkowo niekorzystny w porównaniu do państw Unii Europejskiej, a Czarnogóra oraz Bośnia i Hercegowina zostały zakwalifikowane do grupy krajów o najgorszym klimacie inwestycyjnym.
EN
The aim of the article is to identify the key stimulants and destimulants of the investment climate for the Western Balkans countries. The investment climate was also compared in the European Union countries and the Western Balkans countries. The analysis covers 28 European Union member states and 4 Western Balkans countries. The research was conducted with the use of the development pattern method proposed by Hellwig. According to the results of the research for the year 2016, the low corporate tax rate is the main factor among those included in the study, which may encourage investment in the Western Balkans countries, and the low assessment of the rule of law may discourage it. The investment climate in the Western Balkans countries is relatively unfavorable compared to the European Union countries, and Montenegro and Bosnia and Herzegovina were classified into the group of countries with the worst investment climate.
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