Wyniki wyszukiwania - Biblioteka Nauki

1

Fundamental Portfolio Construction Based on Semi-Variance

100%

Rutkowska-Ziarko A.

Olsztyn Economic Journal

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2013

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tom 8

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nr 2

151-162

EN

In models for creating a fundamental portfolio, based on the classical Markowitz model, the variance is usually used as a risk measure. However, equal treatment of negative and positive deviations from the expected rate of return is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations only. However, finding the fundamental portfolio with minimum semi-variance is not possible with the existing methods.The aim of the article is to propose and verify a method which allows to find a fundamental portfolio with the minimum semi-variance. A synthetic indicator is constructed for each company, describing its economic and financial situation. The method of constructing fundamental portfolios using semi-variance as the risk measure is presented. The differences between the semi-variance fundamental portfolios and variance fundamental portfolios are analysed on example of companies listed on the Warsaw Stock Exchange.

2

Rozkład stóp zwrotu portfeli akcji zbudowanych w oparciu o semiwariancję

100%

Rutkowska-Ziarko A. , Uniwersytet Warmińsko-Mazurski K. S. i. I.

Acta Universitatis Lodziensis. Folia Oeconomica

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2003

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tom 166

EN

The distributions of the rates of return on the fixed target portfolios and classic Markowitz’s ones are compared on example of companies listed on the Warsaw Stock Exchange. The data used in the analysis refer to the period from 1.01.19% to 28.02.2001. The basic parameters o f returns distribution are calculated. The returns on portfolios are non-normally distributed. The analysis of empirical results suggests that, for the Warsaw Stock Exchange, fixed target semi-variance is a more appropriate risk measure than variance.

PL

Porównano rozkłady stóp zwrotu portfeli zbudowanych w oparciu o klasyczny model Markowitza z portfelami efektywnymi minimalizującymi semiwariancję od założonej stopy zwrotu. Przeanalizowano podstawowe charakterystyki rozkładu stóp zwrotu oraz zbadano ich zgodność z rozkładem normalnym. Badania objęły wszystkie spółki (56), które w całym okresie od 01.01.1996 r. do 28.02.2001 r. były notowane na WGPW. Żaden z badanych portfeli nie charakteryzuje sie normalnym rozkładem stóp zwrotu. Dla portfeli minimalizujących semiwariancję od założonej stopy zwrotu, odstępstwo od rozkładu normalnego jest wyraźniejsze niż dla portfeli zbudowanych zgodnie z klasycznym modelem Markowitza. Oznacza to, że dla polskiego rynku akcji właściwsze jest budowanie portfeli z wykorzystaniem semiwariancji od założonej stopy zwrotu niż wariancji.

3

RATES OF RETURN DISTRIBUTIONS VARIATION - IMPLICATIONS FOR PORTFOLIO ANALYSIS

63%

Markowski L. , Rutkowska-Ziarko A.

Olsztyn Economic Journal

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2008

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tom 3

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nr 1

31-43

EN

The paper presents the properties of the rates of return distributions for Markowitz models and models with minimum semivariance. The special focus was placed on investigating the variation over time of the rates of return distributions for the studied portfolios. Non-parametric Kolmogorov-Smirnov tests and augmented Dickey-Fuller test were used for analysis of distributions over time. The studies showed that the distributions of rates of return for portfolios developed, particularly for high assumed rates of return were characterized by high variation. Considering selected distribution parameters SEM portfolios were more favorable than Markowitz portfolios although they showed a higher variation of distributions over time.

4

The development of downside accounting beta as a measure of risk

63%

Rutkowska-Ziarko A. , Pyke C.

Economics and Business Review

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2017

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tom 3(17)

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nr 4

55-65

EN

This paper develops a new method for measuring market risk called downside accounting beta (DAB). To test the validity of DAB the method is applied to the financial data for 14 food companies listed on the Warsaw Stock Exchange during a 6-year period. DAB calculates how changes in the profitability of the whole sector affects the profitability of a given company. The paper concludes that when calculating DAB using Return on Assets (ROA) and Return on Equity (ROE) there is a positive correlation with market betas. The practical implication of this research is that investors, owners and managers can use DAB to calculate the systematic risk of companies not listed on stock markets and consequently to identify the levels of risk associated with companies within the sector.

5

Wysokosprawna kogeneracja a biały certyfikat

63%

Miczka G. , Rutkowska-Ziarko A.

Rynek Energii

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2021

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tom Nr 2

3--11

PL

Celem pracy jest wykazanie, że CHP jest przedsięwzięciem poprawiającym efektywność energetyczną oraz powinno być wspierane świadectwami efektywności energetycznej czyli tzw. Białymi Certyfikatami. W artykule wykazano, że na mocy polskiego prawa istnieje możliwość pozyskania Białych Certyfikatów za stosowanie, do ogrzewania i chłodzenia obiektów, ciepła wytworzonego w wysokosprawnej kogeneracji (CHP). Przedstawiono metody obliczeniowe wykazujące wystarczające parametry instalacji CHP do wnioskowania o świadectwa efektywności energetycznej w świetle istniejącego w Polsce systemu wsparcia poprawy efektywności energetycznej. Podjęto także próbę wskazania niewykorzystanego potencjału technologii CHP i możliwości zagospodarowania dostępnego wolumenu gazu ziemnego.

EN

The article concerns the possibility of obtaining energy efficiency certificates for the use of heat generated in high-efficiency cogeneration (hereinafter: CHP) for heating facilities in the provisions of Polish law. The purpose of the considerations is to indicate the legal provisions indicating that CHP can and should be a supported project improving energy efficiency. The author indicates the calculation methods showing sufficient parameters of the CHP installation to apply for energy efficiency certificates in the light of the existing in Poland support system for energy efficiency improvement.

6

Application of the Wolfs Algorithm in Constructing Effective Portfolios

63%

Olesinkiewicz J. , Rutkowska-Ziarko A. , University of Warmia and Mazury C. o. S. a. I.

Acta Universitatis Lodziensis. Folia Oeconomica

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2004

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tom 175

EN

The aim of this paper is to present a method of constructing effective portfolios with application of Wolfs algorithm. The effective portfolios are understood as those which have the lowest risk at give rate of return, and, conversely, which have the highest returns at given risk level. In classic Markowitz model, the rate of return is understood as expected returns which in practice is replaced by a mean return. The variance of the portfolio returns is considered as the risk measure. Ready-made programs may be used to construct effective portfolios. In practice, using these application causes some problems. In order to calculate the portfolios efficiently, we have written an application in the Delphi programming language using a suitably adapted Wolf’s algorithm.

PL

Celem artykułu jest przedstawienie metody uzyskiwania portfeli efektywnych przy zastosowaniu algorytmu Wolfa, czyli portfeli, które przy danej stopie zwrotu posiadałyby najniższe ryzyko, zaś dla danego poziomu ryzyka charakteryzowałyby się najwyższą stopą zwrotu. W klasycznym modelu Markowitza przez stopę zwrotu, rozumie się oczekiwaną stopę zwrotu w praktyce zastępowaną średnią stopą zwrotu, za miarę ryzyka przyjmuje się wariancję stóp zwrotu z portfela. W celu wyznaczenia portfela efektywnego można poshiżyć się gotowymi programami. W praktyce wykorzystanie tych aplikacji stwarza pewne problemy. By sprawnie wyznaczać portfele efektywne napisaliśmy program w Delphi wykorzystujący odpowiednio dostosowany algorytm Wolfa.

7

Assessing the Efficiency of Investment Fund Management Using Quantile Risk Measures

63%

Rutkowska-Ziarko A. , Garsztka P.

Olsztyn Economic Journal

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2016

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tom 11

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nr 3

277-298

EN

The aim of the research is to compare the efficiency of managing selected Polish investment funds in various phases of stock market condition. The Value at Risk (VaR) and Conditional Value at Risk (CVaR) is used to construct efficiency ratios of fund management. Those funds investing in financial instruments have the most stable expected rate of return and the lowest risk, in all the analysed periods which made them highly effective. The article also discusses the alternative methods to VaR and CVaR estimation which are used in the study. It is noted VaR and CVaR estimates obtained using backtesting and using APARCH models give similar results.

8

THE ANALYSIS OF A TOTAL AND SYSTEMATIC RISK IN THE CONTEXT OF A DOWNSIDE RISK BASED ON THE EXAMPLE OF CAPITAL INVESTMENTS AT WARSAW STOCK EXCHANGE

63%

Markowski L. , Rutkowska-Ziarko A.

Olsztyn Economic Journal

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2010

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tom 5

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nr 1

28-38

EN

Investments in large, medium and small companies listed at Warsaw Stock Exchange in the aspect of the downside risk were the major subject of the studies. For the analyzed companies, in addition to the variances and classic beta coefficients their downside equivalents, i.e. semivariances and semi-betas were determined. It was shown that companies of different size are characterized by the different levels of total and systematic risk. Additionally, semi-betas, being the measures of the downside systematic risk, are much stronger correlated with the profitability achieved than their classical equivalents.

9

The Effectiveness of Simple Diversification in Comparison to Markowitz Portfolio Theory

63%

Markowski L. , Rutkowska-Ziarko A.

Olsztyn Economic Journal

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2011

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tom 6

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nr 1

143-154

EN

Analysis of capital investments at Warsaw Stock Exchange during the period of from 2004 through 2009 was the main goal of the study. The analysis was conducted on the base of the classic Markowitz portfolio theory and construction of multi-component balanced portfolios. The studies conducted indicate significant advantage of portfolio investments over the investments in individual securities. The largest risk decrease was recorded in case of the portfolios consisting of up to 5 securities. Markowitz optimization applied in the studies allowed finding the portfolios much more secure, at the assumed rate of return, than the multi-component balanced portfolios. The results indicate significant importance of optimization models in the design of the portfolios of securities.

10

Where and why in the UK? The Case of Polish Migrants

51%

Kowalewska G. , Rutkowska-Ziarko A. , Simister J. , Sonmez Y.

Olsztyn Economic Journal

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2016

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tom 11

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nr 2

137-150

EN

This article focuses on one of the most controversial issues frequently discussed by many including politicians, academics and the media in the UK and Poland: migration of Polish people to Britain. The main aim is to identify the important factors causing migration of Poles within the UK. In this article, the authors seek to study the pull factors, i.e. level of wages or employment rate, for Polish people between different regions within the UK. By using the data from “Labour Force Surveys” collected by the UK government; and data from Główny Urząd Statystyczny (GUS) in Poland, this paper analyses where and why the Polish migrants live in the UK. The most important factor determining the fraction of Polish people in a given region is the fraction of Polish people in that region in the past. When Polish people move within UK, they tend to choose a region with a higher level of gross pay, and they don’t seem to consider the risk of unemployment. The authors are grateful to providers of survey data discussed in the “Data and methods” section of this paper. LFS data are made available by the UK Data Service. Views reported in this paper do not necessarily reflect opinions of organisations which commissioned or provided access to these surveys.