Zastosowanie analizy skupień do konstruowania portfeli akcji na WGPW
Application of cluster analysis to the construction of investment portfolio on the Warsaw Stock Exchange

Summary/Abstract: Cluster analysis used for portfolio construction can be competitive for other methods of investment risk analysis. Such conclusions follow from the American stock market research from the beginning of this century. In this article an investigation of the possibility of applying cluster analysis on the Warsaw Stock Exchange is presented. The investigation is aimed at finding answers to the following questions. Are the patterns from the American market also present on the Warsaw market? In particular, is it better to analyze stock price series or return rates series? Is it reasonable to exclude one-element clusters from further analysis i.e. portfolio? Is it possible to select clustering methods that would be optimal with respect to the quality of portfolios constructed independently of the stock exchange situation? In particular, is the PAM method also recommendable? The investigation was carried out on the data from the recent five years in times of different economic situations.

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