Title:

Portfolio selection: method of the step by step assigned weights

Group publication title:

Ekonometria = Econometrics

Title in english:

Wybór portfela: metoda wag dobieranych krok po kroku

Creator:

Pavlík, Martin ; Michalski, Grzegorz ; Lukáčik, Martin

Subject and Keywords:

modern portfolio theory ; VBA in Excel ; enumeration ; portfolio choice ; VaR ; Value at Risk ; wybór portfela ; ryzyko ; zwrot ; portfel inwestycyjny ; wartość narażona na ryzyko ; odchylenie standardowe

Description:

Ekonometria = Econometrics, 2015, Nr 3 (49), s. 78-97

Abstrakt:

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

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2015

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/ekt.2015.3.07

Language:

eng

Relation:

Ekonometria = Econometrics, 2015, Nr 3 (49)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu