An algorithm for construction for a portfolio with a fundamental criterion

Paweł Kliber , Anna Rutkowska- Ziarko


The classical models for construction of investment portfolio do not take into account fundamental values of considered companies. In our approach we extend the portfolio choice by adding this dimension to the classical criteria of profitability and risk. It is assumed that an investor selects stock according to their attractiveness, measured by some fundamental values of companies. In this approach portfolios are assessed according to three criteria: their profitability, risk (measured by variance of returns) and fundamental value (measured by some indicators of fundamental value). In this article we consider earnings to price ratio as the measure of the fundamental value of a company. In the paper we consider an algorithm for constructing portfolios with fundamental criterion based on analytical solutions for appropriate optimization problems. In the optimization problem we consider minimizing variance with constrains on expected return and attractiveness of investment, measured with some indicators of fundamental values of companies in a portfolio. We also present empirical examples of calculating effective portfolios of stocks listed on the Warsaw Stock Exchange.
Author Paweł Kliber (WIiGE / KE)
Paweł Kliber,,
- Department of Econometrics
, Anna Rutkowska- Ziarko - Uniwersytet Warmińsko-Mazurski w Olsztynie, MNiSW [80]
Anna Rutkowska- Ziarko,,
Publication size in sheets0.55
Book Cermakova Klara, Mozayeni Simin, Hromada Eduard (eds.): Proceedings of the 11th Economics & Finance Conference, Rome, 2019, International Institute of Social and Economic Sciences, ISBN 978-80-87927-56-4, 257 p.
Keywords in Polishanaliza portfelowa, wartość fundamentalna, wybór wielokryterialny, analiza fundamentalna
Keywords in Englishportfolio analysis, fundamental value, multicriterial choice, fundamental analysis
Languageen angielski
Score (nominal)5
Score sourcepublisherList
ScoreMinisterial score = 5.0, 25-07-2020, ChapterFromConference
Publication indicators WoS Citations = 0
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