THE MODIFICATION OF MARKOWITZ PORTFOLIOS MADE FOR STOCKS FROM THE WARSAW STOCK EXCHANGE

被引：0
|
作者：
Sawik, Bartosz T. [1 ]
机构：
[1] Univ Sci & Technol, Krakow, Poland
来源：
JOURNAL OF MINING INSTITUTE | 2006年 / 167卷 / 02期
关键词：
D O I：
暂无
中图分类号：
TD [矿业工程];
学科分类号：
0819 ;
摘要：
This paper presents method of construction alternative constraints for the Markowitz model. Three models with modification and one standard Markowitz problem gives four structures of stock portfolios with different coefficients of extreme risk aversion. Each portfolio investment space structure depends on coefficient of extreme risk aversion, shape of utility function for selected investment and ratio of shares in portfolio to shares in stock exchange in selected periods and amount of shares. Date sets for analysis come from WSE and from a 49 months planning horizon: December 2000 to December 2004.
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页码：306 / 308
页数：3
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