Czasopismo
Tytuł artykułu
Autorzy
Wybrane pełne teksty z tego czasopisma
Warianty tytułu
Analiza strategii CPPI dla spółek notowanychna GPW w Warszawie
Języki publikacji
Abstrakty
The constant proportion portfolio insurance (CPPI) strategy is one of the strategies whose main aim is to protect the minimum value of the investor’s portfolio. The implementation of the strategy means that each change in stock prices causes modifications in the portfolio structure. In general, stocks are bought as their prices rise and stocks are sold as their prices fall. As a result, the portfolio risk fluctuates with the changes in the stock prices. The author analyses the efficiency of the CPPI strategy in the Polish capital market over a long period of time. The CPPI strategy is implemented to the chosen stocks quoted on the Warsaw Stock Exchange.
Słowa kluczowe
Czasopismo
Rocznik
Numer
Strony
52-67
Opis fizyczny
Daty
wydano
2012
Twórcy
autor
- Uniwersytet Ekonomiczny w Katowicach, tomasz.wegrzyn@ue.katowice.pl
Bibliografia
- Bertrand P., Prigent J.L., Portfolio insurance: the extreme value approach to the CPPI method, “Finance” 2002, vol. 23 iss. 2.
- Bertrand P., Prigent J.L., Portfolio insurance strategies: OBPI versus CPPI, “Finance” 2005, vol. 26, iss. 1.
- Black F., Jones R., Simplifying portfolio insurance, “Journal of Portfolio Management”, New York, Fall 1987, vol. 14, iss. 1.
- Black F., Jones R., Simplifying portfolio insurance for corporate pension plans, “Journal of Portfolio Management”, New York, Summer 1988, vol. 14, iss. 4.
- Black F., Perold A.R., Theory of constant proportion portfolio insurance, “Journal of Economics and Dynamics Control“ 1992, vol. 16.
- Bookstaber R., Langsam J.A., Portfolio insurance trading rules, “The Journal of Futures Markets“ 2000, vol. 20, iss. 1.
- Dichtl H., Drobetz W., On the popularity of the CPPI strategy: a behavioral–finance–based explanation and design recommendations, “Journal of Wealth Management”, Fall 2010, vol. 13, iss. 2.
- Do B.H., Relative performance of dynamic portfolio insurance strategies: Australian evidence, “Accounting and Finance” 2002, vol. 42.
- Henriksson R.D., Merton R.C., On market timing and investment performance II, “Journal of Business”, October 1981, vol. 54, iss. 4.
- Pain D., Rand J., Recent developments in portfolio insurance, Bank of England Quarterly Bulletin, 2008 Q1, vol. 48, iss. 1.
- Pesce M.A., Fiscal policy, public debt management and government bond markets: issues for central banks, Available at: http://www.bis.org/publ/bppdf/bispap67e.pdf, BIS Papers No 67, October 2012.
- Perold A.F., Sharpe W.F., Dynamic strategies for asset allocation, “Financial Analysts Journal”, January/February 1988, vol. 44, iss. 1.
- Sharpe W.F., Mutual fund performance, “Journal of Business”, January 1966, vol. 39, iss. 1.
- Treynor J.L., Mazuy K.K., Can mutual funds outguess the market?, “Harvard Business Review”, July/August 1966, vol. 44, iss. 4.
- Trippi R.R., Harriff R.B., Dynamic asset allocation rules: survey and synthesis, “Journal of Portfolio Management”, New York, Summer 1991, vol. 17, iss. 4.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.desklight-5eeb86d0-6054-4c04-9f00-3bfbc0630832