EKSPERYMENTALNA OCENA EFEKTYWNOŚCI PORTFELA FUNDAMENTALNEGO DLA SPÓŁEK Z INDEKSU WIG20 ZA LATA 2004 – 2016
EXPERIMENTAL ASSESSMENT OF FUNDAMENTAL PORTFOLIO'S EFFECTIVENESS BASED ON STOCKS INCLUDED IN WIG20 INDEX IN THE PERIOD 2004-2016
Author(s): Paweł StaszakSubject(s): Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: fundamental portfolio; portfolio analysis; TMAI; Markowitz;WSE;
Summary/Abstract: The aim of this paper is a comparison of effectiveness of different methods related to construction of fundamental portfolios in the case of polish capital market. The study describes classical portfolio theory and alternative approach based on the Taksonomiczna Miara Atrakcyjności Inwestycji (TMAI) measure. The effectiveness of all methods is verified using the companies included in the WIG20 index in the period 2004 - 2016. Keywords: fundamental portfolio, portfolio analysis, TMAI, Markowitz, WSE
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVIII/2017
- Issue No: 4
- Page Range: 672-678
- Page Count: 7
- Language: English
