Granica efektywności portfeli inwestycyjnych a indeks ogona rozkładu stopy zwrotu – analiza empiryczna na przykładzie GPW w Warszawie
The efficient frontier of investment portfolios and the tail index of distribution of returns – an empirical analysis on the WSE

Summary/Abstract: The aim of this paper is an attempt to answer the question if there exists any relationship between the index of stability of stable distribution and portfolio efficiency frontier. The data from the WSE is used (over the period 2000–2009). Portfolio optimization based on minimizing the risk while maximizing the expected return is considered. The study shows what the optimal allocation of assets in investment portfolios which create investment efficiency frontier is.

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