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    Wyświetlanie 1-4 z 4
    Tytuł:
    Cryptocurrencies as an asset class in portfolio optimisation
    Autorzy:
    Holovatiuk, Olha
    Powiązania:
    https://bibliotekanauki.pl/articles/1356273.pdf
    Data publikacji:
    2020-09-09
    Wydawca:
    Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
    Tematy:
    cryptocurrencies
    blockchain technology
    asset class
    portfolio optimisation
    Modern Portfolio Theory
    Post-Modern Portfolio Theory
    Opis:
    In this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be classified as an asset class and what kind of benefits they may bring to the investor’s portfolio. We used 6 indices as proxies for the major asset classes, including the cryptocurrency index CRIX, for all cryptographic assets. Cryptocurrencies relatively fully satisfied 7 asset class requirements, namely stable aggregation, investability, internal homogeneity, external heterogeneity, expected utility, selection skill and cost-effective access. It was found that crypto assets have diversification properties. Portfolio optimisation with the Modern Portfolio Theory showed an increase in the Sharpe ratio of tangency portfolios with the inclusion of CRIX. However, the Post-Modern Portfolio Theory identified significant deterioration of the downside risk and the Sortino ratio.
    Źródło:
    Central European Economic Journal; 2020, 7, 54; 33 - 55
    2543-6821
    Pojawia się w:
    Central European Economic Journal
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    A condition for asset redundancy in the mean-variance model of portfolio investment
    Autorzy:
    Juszczuk, Przemysław
    Kaliszewski, Ignacy
    Miroforidis, Janusz
    Podkopaev, Dmitry
    Powiązania:
    https://bibliotekanauki.pl/articles/2050025.pdf
    Data publikacji:
    2020
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    modern portfolio theory
    Markowitz model
    meanvariance portfolio optimization
    asset redundancy
    problem size
    Opis:
    The mean-variance approach to portfolio investment exploits the fact that the diversification of investments by combination of different assets in one portfolio allows for reducing the financial risks significantly. The mean-variance model is formulated as a bi-objective optimization problem with linear (expected return) and quadratic (variance) objective functions. Given a set of available assets, the investor searches for a portfolio yielding the most preferred combination of these objectives. Naturally, the search is limited to the set of non-dominated combinations, referred to as the Pareto front. Due to the globalization of financial markets, investors nowadays have access to large numbers of assets. We examine the possibility of reducing the problem size by identifying those assets, whose removal does not affect the resulting Pareto front, thereby not deteriorating the quality of the solution from the investor’s perspective. We found a sufficient condition for asset redundancy, which can be verified before solving the problem. This condition is based on the possibility of reallocating the share of one asset in a portfolio to another asset without deteriorating the objective function values. We also proposed a parametric relaxation of this condition, making it possible to removemore assets for a price of a negligible deterioration of the Pareto front. Computational experiments conducted on five real-world problems have demonstrated that the problem size can be reduced significantly using the proposed approach.
    Źródło:
    Control and Cybernetics; 2020, 49, 2; 179-191
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Portfolio selection: method of the step by step assigned weights
    Wybór portfela: metoda wag dobieranych krok po kroku
    Autorzy:
    Pavlík, Martin
    Michalski, Grzegorz
    Lukáčik, Martin
    Powiązania:
    https://bibliotekanauki.pl/articles/425102.pdf
    Data publikacji:
    2015
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    modern portfolio theory
    VBA in Excel
    enumeration
    portfolio choice
    VaR
    Value at Risk
    Opis:
    The authors conceived a new simple method for creating the approximation of the border of investment opportunities. The method enumerates all the possibilities of assigning weights to the investment portfolio. It does not enable short sales. The software which the authors coded is written in VBA and also enables active management. The method is simple, accurate but demanding. The authors also created a simple methodology for testing the quality of the approximation of the border of investment opportunities.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2015, 3 (49); 78-97
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    An interactive compromise programming for portfolio investment problem
    Autorzy:
    Karelkina, Olga
    Powiązania:
    https://bibliotekanauki.pl/articles/2050029.pdf
    Data publikacji:
    2020
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    modern portfolio theory
    Markowitz model
    meanvariance portfolio optimization
    interactive multicriteria optimization
    parameterized achievement scalarizing functions
    Opis:
    This paper addresses an approach for solving multicriteria portfolio investment problem. The original Markowitz mean-variance model is formulated as a problem of bi-objective optimization with linear and quadratic objective functions. In the current work, this model is extended by introducing a new objective, reflecting asset properties that are useful for the portfolio allocation process. A method based on parameterized achievement scalarizing function is applied to produce Pareto optimal portfolios. A mathematical programming formulation that allows for solving the problem with conventional optimization methods is presented. In addition, a method of reflecting the decision maker’s preferences by means of changing the weights in the achievement scalarizing functions is introduced. A decision making process is simulated for the three-objective portfolio optimization problem.
    Źródło:
    Control and Cybernetics; 2020, 49, 2; 193-210
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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