Title:

Software for the demonstration of the fundaments of portfolio selection

Group publication title:

Ekonometria = Econometrics

Title in english:

Dobór składowych portfela aktywów bieżących z użyciem oprogramowania

Creator:

Pavlík, Martin ; Lukáčik, Martin ; Michalski, Grzegorz

Subject and Keywords:

Markowitz diversification ; VBA ; Visual Basic for Application ; Excel ; risk ; return ; standard deviation ; Jarque-Bera statistics ; teoria portfelowa ; ryzyko ; płynność ; zwrot ; odchylenie standardowe ; statystyki Jarque-Bera

Description:

Ekonometria = Econometrics, 2014, Nr 3 (45), s. 122-137

Abstrakt:

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.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2014

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/ekt.2014.3.09

Language:

eng

Relation:

Ekonometria = Econometrics, 2014, Nr 3 (45)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu