Diversification of risk of a fundamental portfolio based on semi-variance

Anna Rutkowska- Ziarko , Przemysław Garsztka


The 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.
Author Anna Rutkowska- Ziarko - Uniwersytet Warmińsko-Mazurski w Olsztynie
Anna Rutkowska- Ziarko,,
, Przemysław Garsztka (WIiGE / KE)
Przemysław Garsztka,,
- Department of Econometrics
Journal seriesEconomics 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)
Issue year2014
Publication size in sheets0.8
Keywords in Englishportfolio optimization, effi cient frontiers, downside risk management
URL http://www.ebr.edu.pl/pub/2014_2_80.pdf
Languageen angielski
PUER_2014_14_2.pdf 295.4 KB
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 7.0, 02-01-2020, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 02-01-2020, ArticleFromJournal
Citation count*4 (2021-05-10)
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