Title:

Porównanie dwóch strategii dynamicznego zarządzania portfelem papierów wartościowych

Group publication title:

Prace Naukowe Akademii Ekonomicznej im. Oskara Langego we Wrocławiu

Title in english:

Comparison of two dynamic strategies of assets allocation

Creator:

Węgrzyn, Tomasz

Description:

Prace Naukowe Akademii Ekonomicznej we Wrocławiu; 2006; nr 1133, s. 548-556

Abstrakt:

In this article two dynamic strategies of assets allocation are presented. The first strategy is constant-mix strategy. In this strategy manager maintains an exposure to equities that is a constant proportion of his wealth. This strategy is dynamic because whenever the relative value of assets change, purchases and sales are required to return to the desired mix. This strategy is especially profitable when there is high volatility in the market, but when prices are changing in the same direction for a long time this strategy is less profitable than buy and hold strategy. The second strategy is constant proportion portfolio insurance (CPPI). In this strategy the whole portfolio is divided into two parts. One part is invested in equities, while the second part is invested in bonds. When prices are rising bigger part of wealth is invested in equities. So under this strategy manager sells equities as their prices are falling and buy equities as their prices are rising. This strategy is especially profitable when prices are changing in the same direction for a long time, but when there is high volatility in the market it makes loss.

Publisher:

Wydawnictwo Akademii Ekonomicznej im. Oskara Langego we Wrocławiu

Place of publication:

Wrocław

Date:

2006

Resource Type:

artykuł

Language:

pol

Relation:

Prace Naukowe Akademii Ekonomicznej im. Oskara Langego we Wrocławiu; 2006; nr 1133 ; Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Coverage:

Projekt dofinansowany ze środków budżetu państwa, przyznanych przez Ministra Nauki w ramach Programu Społeczna odpowiedzialność nauki II. Tytuł projektu: Nauka dla Społeczeństwa: Prace Naukowe AEW w otwartym dostępie (2005-2008)