PL
 |
EN
Preferencje help
Polish version English version Język
Widoczny [Schowaj] Abstrakt
Liczba wyników
Powiadomienia systemowe
  • Sesja wygasła!
  • Sesja wygasła!

Znaleziono wyników: 8

Liczba wyników na stronie
first rewind previous Strona / 1 next fast forward last
Wyniki wyszukiwania
help Sortuj według:

help Ogranicz wyniki do:
first rewind previous Strona / 1 next fast forward last
1
Content available Valuing managerial flexibility : an application of real-option theory to steel industry investments
Rębiasz B., Gaweł B., Skalna I.
Operations Research and Decisions
|
2017
|
Vol. 27, No. 2
91--111
EN
In the steel industry which is subject to significant volatility in its output prices and market demands for different ranges of products the diversification of production can generate important value for switch real options. Therefore, a common practice is to invest in various assets, thus generating the possibility of diversification of production and valuable switch options. The incremental benefit of product switch options in steel plant projects has been assessed. Such options are valued using the Monte Carlo simulation and modeling the prices of and demand for steel products as geometric Brownian motion (GBM). Our results show that this option can generate a significant increase in the net present value (NPV) of metallurgical projects.
2
Content available CAPM applications for appropriate stock pricing – impact of speculation companies
Urbański S., Skalna I.
Managerial Economics
|
2017
|
Vol. 18, no. 2
227--245
EN
Research on the pricing of stocks listed on the Polish market shows a contradiction with the classic CAPM. The results of these studies are consistent with the results carried out on other developed markets. The reasons for inconsistent pricing are not known; this is the main objective of this work. It is a continuation of the authors’ previous work on the impact of speculation and penny stocks on the pricing in light of the ICAPM. Despite the scientific justifications for pricing in light of the ICAPM, a common estimate of the capital cost for companies is still performed on the basis of the classic CAPM. It has been conjectured that speculative stocks contribute to incompatible pricing in light of the CAPM. The elimination of speculative stocks would allow for the proper estimate of the cost of capital without the need of complicated and laborious ICAPM applications. The research is conducted on the basis of stocks listed on the Warsaw Stock Exchange from 1995 through 2012. The tested period is divided into two separate sub-periods: 1995–2005 (the years preceding Poland’s accession to the EU) and 2005–12 (the years of Poland’s membership in the EU). The analyzed stocks are grouped into quintile portfolios according to two variants. The pricing tests are carried out in three modes. In Mode, 1 all listed stocks are analyzed. In Modes 2 and 3, speculative stocks are excluded from the study. The research results prove the validity of the adopted conjectures.
3
Content available Ten years of the sing meetings
Bertini C., Duda J., Gaweł B., Paliński A., Skalna I., Stach I.
Operations Research and Decisions
|
2014
|
Vol. 24, No. 4
7--28
EN
This paper provides some statistics on the SING meetings held from 2005 to 2014. Particular attention is paid to the tenth such meeting.
4
Content available Selected Approaches for Testing Asset Pricing Models Using Polish Stock Market Data
Czapkiewicz A., Skalna I.
Decision Making in Manufacturing and Services
|
2014
|
Vol. 8, no. 1-2
25--38
EN
The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the Polish stock market (Warsaw Stock Exchange). Different sample characteristics such as homoscedasticity, conditional heteroscedasticity and autocorrelation as well as heteroscedasticity are tested.
5
Content available The Fama-French model for the Polish market
Czapkiewicz A., Skalna I.
Ekonomia Menedżerska
|
2010
|
nr 7
121-129
EN
The Fama-French (FF) three-factor model has been tested for the Polish stock market using the sample that spans years 2003-2007. The model is verified using the technique of rolling betas. The results show the significant impact of factors constructed based on the fundamental values such as firm size and book-to-market ratio value (BE/ME), whereas the market beta has little or no ability in explaining the variation in stock returns. The small stocks effect and the effect of stocks with big BE/ME can be noticed.
PL
Trójczynnikowy model wyceny aktywów kapitałowych Famy i Frencza (FF) został przetestowany na rynku polskim przy użyciu danych WPGW z lat 2003-2007. Model zweryfikowano techniką rolowanych beta. Otrzymane wyniki wskazują na duży wpływ czynników skonstruowanych na podstawie danych fundamentalnych, takich jak rozmiar firm oraz wskaźnik wartości księgowej do rynkowej (BE/ME), przy równoczesnym niewielkim wpływie lub braku wpływu czynnika rynkowego na wyjaśnienie zmian stóp zwrotu. Podobnie jak na innych rynkach został zaobserwowany efekt małych spółek oraz efekt spółek z dużą wartością BE/ME.
6
Content available remote Zastosowanie metod algebry przedziałowej w analizie przepływów miedzygałęziowych
Skalna I.
Zagadnienia Techniczno-Ekonomiczne
|
2003
|
T. 48, z. 3
939--951
PL
Analiza przepływów międzygałęziowych jest bardzo ważnym narzędziem opisu i prognozowania rozwoju gospodarczego. Rozsądna polityka gospodarcza powinna brać pod uwagę realność wyniku uzyskanego za pomocą tej analizy. Na wynik ten mają wpływ niepewności i zmiany w macierzy współczynników technicznych oraz niepewności i zmiany popytu końcowego. Niniejsza praca pokazuje zastosowanie metod algebry przedziałowej w analizie przepływów miedzygałęziowych z niepewnymi danymi.
EN
Input-output models are very important tool for description and forecasting of economic development. Reasonable economic policy should include the idea of how realistic the results of this analysis are. This results will be affected by uncertainties and changes of both technical coefficients and final demand. This paper shows applications of methods of interval algebra to input-output models with uncertain input data.
7
Content available remote Methods for solving systems of linear equations of structure mechanics with interval parameters
Skalna I.
Computer Assisted Mechanics and Engineering Sciences
|
2003
|
Vol. 10, No. 3
281-293
EN
Interval analysis permits to calculate guaranteed a posteriori bounds for the solutions of problems with uncertain (interval) input data. Most of the methods of interval analysis assume that all input data vary independently within the given lower and upper bounds. In many practical applications it need not be a case, and the assumption of independence may lead to large overestimation of the set of solutions. The subject of this work is the problem of solving systems of linear interval equations with coefficients linearly dependent on a set of interval parameters called coefficient dependence problem. The purpose of this work is to present methods producing sharp bounds for the set of solutions of systems with dependent input data. The paper starts with an introduction to systems of linear interval equations and the problem of data dependencies in such systems. A parametric formulation of the coefficient dependence problem follows next. Finally, three algorithms to calculate tighter bounds for problems with linearly dependent coefficients, namely the Rump's method, its improved version developed by the author, and the IPM method based on the results from Neumaier [8] are presented and discussed. The algorithms are evaluated and compared using some examples of truss structure analysis.
8
Content available remote Analysis of linear mechanical structures with uncertainties by means of interval methods
Kulpa Z., Pownuk A., Skalna I.
Computer Assisted Mechanics and Engineering Sciences
|
1998
|
Vol. 5, nr 4
443-477
EN
One of the simplest ways of representation of uncertain or inexact data, as well as inexact computations with them, is based on interval arithmetic. In this approach, an uncertain (real) number is represented by an interval (a continuous bounded subset) of real numbers which presumably contains the unknown exact value of the number in question. Despite its simplicity, it conforms very well to many practical situations, like tolerance handling or managing rounding errors in numerical computations. Also, the so-called alfa-cut method of handling fuzzy sets membership functions is based on replacing a fuzzy set problem with a set of interval problems.
first rewind previous Strona / 1 next fast forward last
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.