A1 - Potrykus, Marcin
PB - Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
N2 - The following article is dedicated to the construction of an investment portfolio consisting of 3 investments from the Polish capital market found in the WIG20 index and from investment in gold. The purpose of the study was to determine the optimal length of the estimation window for building a portfolio with minimal risk and maximum efficiency. The length of the estimation window was also assessed in terms of the rate of return and the maximum cumulative loss. Data from 2017 was used to build the portfolio, and the weightings determined for the portfolio based on these data were evaluated using data from 2018 (from January to October). Based on the research, it was found that the optimal length of the estimation window ranges from 144 to 160 daily observations from the past. However, depending on the investment objective (risk minimization or maximization of efficiency) and the characteristics describing the portfolio, other lengths of the estimation window may also be appropriate
L1 - http://www.dbc.wroc.pl/Content/73935/Potrykus_Markowitz%27s_portfolio_theory.pdf
L2 - http://www.dbc.wroc.pl/Content/73935
KW - portfolio theory
KW - capital market
KW - Poland
KW - estimation window
KW - minimal risk
KW - maximum efficiency
KW - teoria portfelowa
KW - rynek kapitałowy
KW - Polska
KW - okno estymacji
KW - minimalne ryzyko
KW - maksymalna efektywność
ER -
T1 - Markowitz’s portfolio theory – optimal length of estimation window for gold and the biggests companies on the Warsaw Stock Exchange
UR - http://www.dbc.wroc.pl/dlibra/docmetadata?id=73935