- Tytuł:
-
Ocena efektywności wybranych strategii inwestowania cyklicznego na polskim rynku kapitałowym w świetle mierników opartych na modelu CAPM
Evaluation of the Effectiveness of Selected Technical Trading Rules on the Polish Stock Market Usign the Measures Created on the Base of Capm - Autorzy:
- Salamaga, Marcin
- Powiązania:
- https://bibliotekanauki.pl/articles/589651.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Ekonomiczny w Katowicach
- Tematy:
-
Efektywność
Inwestycje
Rynek kapitałowy
Capital market
Effectiveness
Investment - Opis:
- The aim of the paper is to evaluate the effectiveness of selected investment strategies applied to the Polish stock market. In the research there were taken into consideration strategies formulated in accordance with the technical trading rules, the essence of which is to determine the moments of the generation of buy or sell signals of the financial instruments. In the paper different systems of moving averages were calculated for the selected indexes on the Warsaw Stock Exchange. To evaluate the effectiveness of comparable investment strategies, there are applied common measures of portfolio management quality created on the base of the Capital Asset Pricing Model, as the Sharpe ratio, Treynor ratio, Jensen's index, Sharpe alpha and measures of market timing.
- Źródło:
-
Studia Ekonomiczne; 2013, 163; 113-130
2083-8611 - Pojawia się w:
- Studia Ekonomiczne
- Dostawca treści:
- Biblioteka Nauki