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'Momentum' and 'Contrarian' Strategies - How to Exploit Polish Capital Market's Inefficiences

100%

Ostrowska E. , Zielinska E.

Pieniądze i Więź

2008

tom 11

nr 2(39)

49-57

The results of various investment strategies employed by institutional and individual investors were investigated.

Empirical portfolio strategies.

63%

Ottucsak G. , Vajda I.

Kozgazdasagi Szemle (Economic Review)

2006

tom 53

nr 7/8

624-640

The paper introduces sequential investment strategies that guarantee an optimal rate of growth of capital while making minimal assumptions about the behaviour of the market. The one assumption is that the market is stationary and ergodic. The authors review the theoretical and the empirical properties of the new strategies. The theoretical results show that the asymptotic rate of growth matches the log-optimal one that could be achieved only with full knowledge of the statistical properties of the underlying process generating the market. The new approach is related to the classic Markowitz portfolio strategy.

EFFICIENCY ON THE SLOVAK PRIVATE PENSION FUNDS MARKETS AND LEGISLATIVE CHANGES EFFECTS ANALYSIS

51%

Mitkova V. , Mlynarovič V.

Ekonomický časopis (Journal of Economics)

2021

tom 69

nr 6

604 – 626

The paper presents applications of portfolio techniques including proposed modification of the Black-Litterman approach for pension funds’ performance evaluation on the Slovak private pension funds markets and deals with: how effective are the investment strategies of companies on the market of specific pension funds; if the investment strategies outcomes match the companies' officially declared fund strategy type in a risk-return space; and if the legislative changes on the pension market segment impact those funds strategies. Relative positions of single funds are identified by constructing efficient frontiers in various spaces. As a result, the investment strategies create clusters for conservative, balanced, and index funds, while the growth funds have higher strategies variance. It is shown that the legislative changes concerning mainly more risky funds have an important influence on the second pillar growth funds investment strategies. The results show high interactions between legislative changes and investment decisions.

Faktornyiy analiz investitsionnogo potentsiala predpriyatiya

38%

Lapin Y. V.

Mekhanizm Rehuluvannya Economiky

2012

tom 4 (58)

111-116

Proposed scientific and methodical approach to the analysis of the cost-effectiveness of investment strategies of the industrial enterprise based factor models, the use of which allows you to optimize solutions for strategic investment planning, balanced balance the interests of the owners and managers of the company.