Analiza wpływu ogólnej koniunktury giełdowej i wzrostu PKB na stopy zwrotu z portfela akcji przy wykorzystaniu rozmytych modeli Markowitza
Analysis of the impact of economic trends and GDP growth in the return of shares using fuzzy Markowitz models
Author(s): Grzegorz TarczyńskiSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: Markowitz model; fuzzy set theory; Watada model; Ramaswamy model; share portfolios
Summary/Abstract: The article describes the concept of creating portfolios based on fuzzy set theory. The models of Ramaswamy and Watada are presented. Examples of their use on the Warsaw Stock Exchange for companies WIG20 index are shown. Investor satisfaction with return on investment was conditional on the overall economic situation in the market and of changes in Gross Domestic Product. The paper includes the advantages and disadvantages of described concept of creating financial portfolio.
Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
- Issue Year: 2011
- Issue No: 238
- Page Range: 153-169
- Page Count: 17
- Language: Polish