Wyniki wyszukiwania - BazTech

1

Comparison of profits of effective portfolios with non-effective portfolios taking into account the fuzzy approach

Pośpiech Ewa

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

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2021

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z. 150

199--212

EN

Purpose: The aim of the article is to compare the results of the constructed effective portfolios and non-effective portfolios build on the basis of the value of the indicator constituting a synthetic assessment of decision variants. Design/methodology/approach: The article uses the multi-criteria TOPSIS method in the standard and fuzzy approach. It was used to evaluate listed companies that were examined in terms of selected fundamental and market characteristics. Taking into account the fuzzy method made it possible to treat the values of criteria from three years as triangular fuzzy numbers, and the values of the measure on the basis of which the ranking was created were also used to build non-effective portfolios. Findings: A multi-criteria evaluation of selected listed companies was performed and, on the basis of the obtained rankings, the sets constituting the basis for the construction of effective and non-effective portfolios were selected. The designated effective portfolios (after pre-selection using the FTOPSIS method) were in most cases more profitable than the market portfolio, while the non-effective portfolios, using TOPSIS as the pre-selection method, were (with one exception) more profitable than the effective portfolios. Research limitations/implications: It was not possible to unequivocally recommend the approach used, although the results appear promising. Practical implications: Taking into account the proposed approach, one can methodically build more profitable and more attractive portfolios. Originality/value: Non-standard approach to criteria assessments and the use of metacriterion values to determine the portfolio structure. The considerations may be of interest to stock market investors.

2

The multi-criteria fuzzy approach to building and evaluating effective portfolios

Pośpiech Ewa

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

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2020

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z. 144

397--407

EN

Purpose: The aim of the article is to compare the results of effective portfolios obtained after the initial selection using multi-criteria methods with the results of the market portfolio. Design/methodology/approach: When selecting a long-term portfolio, a fundamental analysis can be used to assess a company's economic and financial condition. This analysis is based on fundamental and market indicators. By treating selected indicators as evaluation criteria, the problem can be considered as a multi-criteria problem. In the analyses the TOPSIS methods were used (standard and fuzzy one), which enabled the approach to the issue in a non-standard way. Findings: Three effective portfolios were determined: two of them were obtained after the initial selection of companies using selected multi-criteria methods, the third was generated from the set of all considered companies. The results of these portfolios, estimated for the whole of 2018, were compared with the market portfolio represented by the WIG20 index. The analysis showed that including the fuzzy approach when selecting a portfolio, it is possible to construct more profitable portfolios compared to the market portfolio. Research limitations/implications: The problem requires further research to confirm the recommendations made. Practical implications: Using the proposed approach, we can methodically build more profitable portfolios than the market portfolio. Originality/value: The values of criterion assessments from selected years were treated as triangular fuzzy numbers – this enabled the use of fuzzy approach and the selection of portfolios more attractive than the market one. The study may be of interest to stock market investors.

3

Metody znajdowania portfela efektywnego dla semiwariancji

Rutkowska-Ziarko A.

Badania Operacyjne i Decyzje

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2005

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nr 3-4

63-83

PL

W klasycznym modelu Markowitza ryzyko mierzone jest wariancją stóp zwrotu. Pewną wadą wariancji jako miary ryzyka jest jednakowe traktowanie odchyleń ujemnych i dodatnich od oczekiwanej stopy zwrotu. Dla mierzenia tylko odchyleń ujemnych Markowitz zdefiniował semiwariancję. Jednak znalezienie portfela o minimalnej semiwariancji jest znacznie trudniejsze niż znalezienie portfela o minimalnej wariancji. Najstarszą metodą znajdowania portfeli optymalnych dla semiwariancji była zaproponowana przez Markowitza w 1959 roku metoda ścieżki krytycznej. Metoda ta była bardzo skomplikowana, dlatego poszukiwano uproszczonych metod znajdowania rozwiązania quasi-optymalnego. Metody quasi-optymalne bazują na mieszanych dolnych momentach cząstkowych. Są one do dziś stosowane w praktyce. Ich zaletą jest możliwość wykorzystania jednego z wielu gotowych programów służących do optymalizacji kwadratowej bądź nieliniowej. Niestety otrzymane rozwiązanie jest quasi-optymalne i nie wiadomo jak bardzo odbiega od rozwiązania optymalnego. W celu budowy portfeli optymalnych w sensie minimalnej semiwariancji od założonej stopy zwrotu, pojawiła się więc konieczność sformułowania nowej metody, która dawałaby rozwiązanie optymalne, a jednocześnie była prosta i łatwa do zaprogramowania.

EN

In the classic Markowitz model, risk is measured by the return rates variance. However, equal treatment of negative and positive deviations from the expected return rate is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations only. However, finding the portfolio with minimum semi-variance is much more difficult than finding a portfolio with minimum variance. The critical line method proposed by Markowitz in 1959 was the oldest method for finding optimum portfolios for semi-variances. That method was highly complicated and as a consequence the search for methods of finding a quasi-optimum solution continued. Quasi-optimum solutions are based on the co-lower partial moments. Until today they find application in practice. Their advantage is that it is possible to use one of many available software packages for square or non-linear optimization. Unfortunately, the solution obtained is quasi optimal and it is not known how far it deviates from the optimum solution. As a consequence, the need to formulate a new method that could offer optimum solution and at the same time would be simple and easy for software design as a mean to select optimum portfolios with the minimum semi-variance from the assumer return rate appeared.