summary

The aim of this study is to present selected statistical methods used in building a portfolio of shares of two companies, which is the basis for creating a multi-component portfolio. The article analyzes the rate of return of five selected listed companies over a period of six years to indicate a universal approach to investing using the fundamental portfolio theory - the Markowitz model. On the basis of analyzes of the rates of return on selected stocks in terms of profitability, risk and correlation, they were diversified and an investment portfolio was created, which was subjected to effectiveness assessment using three portfolio management quality measures. The obtained results indicate that quantitative measures ambiguously enable making the same investment decisions. However, they illustrate the market directions of investment, balancing the individual preferences of the investor.

Summary

The aim of this paper is to present some of the statistical methods used in the construction of a portfolio of shares of two companies, which is the basis for the creation of multi-portfolio. The article analyzes the rate of return of five selected publicly traded companies for a period of six years to indicate a universal approach to investing by using fundamental portfolio theory - a model of Markowitz. The analysis of the rates of return of the selected values ​​in the range of profitability, risk and correlations were made to diversify these selected values ​​and created a investment portfolio, which was assesses of effectiveness by using three measures of quality of portfolio management. The results indicate that quantitative measures ambiguously allow to take the same investment decisions. However, quantitative measures show market trends in the investment, balancing individual investor preferences.

Introduction

Investing is one of the basic human activities that involves ongoing renunciation and postponing consumption for a long time for future and uncertain multiplication of the owner's assets. Therefore, the investor expends capital to achieve certain benefits in the future, at the assumed risk level. One form of investing is a set of financial assets. The growing interest in investing in shares of Polish companies prompts us to describe one of the ways of managing them.

The essence of investment portfolio management

A securities portfolio is a set of different financial instruments selected because of their varying price responses to market trends. It is created in order to create or modernize a stock of fixed assets. Managing an investment portfolio consists in selecting a specific number of components with a different rate of profit and risk. The portfolio should be efficient, i.e. have a higher rate of return than any other portfolio with the same risk or the lowest level of risk among those with the same rate of return. Diversification of an investment portfolio is an integral part of building and managing it. The ingredients should be selected so as to significantly reduce the risk, sometimes even with a simultaneous increase in the profit rate. Portfolio balance can be achieved through a combination of relatively stable defensive assets and relatively high risk offensive assets. According to the Markowitz model, it is less important to select stocks than to diversify a portfolio and maintain it over a period that eliminates the susceptibility to fluctuations through a process of averaging over time. At a certain rate of return, investors tend to bear the lowest risk, while when the level of risk is fixed, they prefer investments with the highest efficiency. Quantitative methods are therefore necessary to minimize errors and losses when buying various securities, because their interpretation allows, inter alia, determine the risk and the expected rate of return.

 

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