Rentowność portfeli inwestycyjnych zbudowanych na bazie relacji częściowego porządku
Profitability of Investment Portfolios Based on Partial Order Relations

Summary/Abstract: The article compares the effectiveness of investing in portfolios which use reduced risk relationship prices under short sale and forbidden short sale. This risk relationship in a given set of shares determined a partial order consistent with the Sharpe ratio. In the chain of relationships, the reduced risk relationship maximal element is the most effective one. The obtained maximal elements-created portfolios were: Pmin (a minimum risk portfolio), P (efficient portfolio with a 5% rate of return) and portfolio PWS (a portfolio based on Sharpe ratio). These portfolios were compared with those formed from all of the shares using the same rules as portfolios P, Pmin, PWS. In consecutive periods of a fixed investment horizon it was found that the profitability of portfolios created from the maximal elements exceeded that of the portfolios formed from all the shares.

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