Modelowanie optymalnego portfela: przypadek największych europejskich giełd papierów wartościowych

Autor

  • Florin Aliu Faculty of Economics, University for Business and Technology (UBT)
  • Artor Nuhiu Faculty of Law, University of Prishtina
  • Besnik Krasniqi Faculty of Economics, University of Prishtina
  • Fisnik Aliu Faculty of Computer Science and Engineering, University for Business and Technology (UBT)

DOI:

https://doi.org/10.18778/1508-2008.23.11

Słowa kluczowe:

dywersyfikacja portfela, giełdy papierów wartościowych, współczynnik korelacji, zmienność

Abstrakt

Optymalizacja portfela jest głównym przedmiotem zainteresowania zarządzających portfelem. Dobór papierów wartościowych jest zależny od skłonności inwestora do podejmowania ryzyka. W niniejszym opracowaniu dokonano pomiaru zmian relacji ryzyko-zysk w miarę wzrostu liczby akcji w portfelu. Stworzono sześć różnych portfeli o liczbie akcji wynoszącej odpowiednio: 47, 95, 142, 190, 239 i 287 akcji. Dane dotyczące cen akcji i wolumenu obrotu były zbierane co tydzień z sześciu największych europejskich giełd papierów wartościowych (FTSE100, CAC40, FTSE MIB, IBEX35, DAX i MDAX). Do pomiaru poziomu ryzyka poszczególnych portfeli zastosowano wzór znany z teorii dywersyfikacji Markowitza (1952). Wyniki analizy pokazują, że ryzyko dywersyfikacji maleje dla portfeli o coraz większej ilości akcji (od 47 akcji do 287 akcji w portfelu). Średni ważony zwrot z portfela rośnie dla portfeli o większej liczbie akcji, co jest sprzeczne ze standardowymi teoriami portfela. Wyniki analizy mogą być przydatne dla inwestorów, którzy koncentrują się wyłącznie na największych europejskich giełdach papierów wartościowych.

Pobrania

Brak dostępnych danych do wyświetlenia.

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Opublikowane

2020-06-30

Jak cytować

Aliu, F., Nuhiu, A., Krasniqi, B., & Aliu, F. (2020). Modelowanie optymalnego portfela: przypadek największych europejskich giełd papierów wartościowych. Comparative Economic Research. Central and Eastern Europe, 23(2), 41–51. https://doi.org/10.18778/1508-2008.23.11

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