Diversification of risk of a fundamental portfolio based on semi-variance
Anna Rutkowska- Ziarko , Przemysław Garsztka
AbstractThe following considerations are based on the concept of the fundamental portfolio as was proposed by [Tarczyński 1995]. In addition, in this article semi-variance, as an alternative to variance, was used as a measure of risk. The paper aims to propose and present empirical verification of the iterative algorithm for risk diversification in a fundamental portfolio with minimum semi-variance. The calculations were made assuming that we had a starting portfolio and that it could be modified to achieve the optimal solution under the established conditions The same calculations were performed for several starting portfolios.
|Journal series||Economics and Business Review, [Poznan University of Economics Review, Poznań University of Economics Review (Economics and Business Review)], ISSN 2392-1641, e-ISSN 2450-0097, [1643-5877], (B 15 pkt)|
|Publication size in sheets||0.8|
|Keywords in English||portfolio optimization, effi cient frontiers, downside risk management|
|Score|| = 7.0, 02-01-2020, ArticleFromJournal|
= 15.0, 02-01-2020, ArticleFromJournal
|Citation count*||4 (2020-08-06)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.