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The aim of this paper is to present a method of constructing effective portfolios
with application of Wolfs algorithm. The effective portfolios are understood as those which
have the lowest risk at give rate of return, and, conversely, which have the highest returns
at given risk level. In classic Markowitz model, the rate of return is understood as expected
returns which in practice is replaced...
Porównano rozkłady stóp zwrotu portfeli zbudowanych w oparciu o klasyczny
model Markowitza z portfelami efektywnymi minimalizującymi semiwariancję od założonej
stopy zwrotu. Przeanalizowano podstawowe charakterystyki rozkładu stóp zwrotu oraz
zbadano ich zgodność z rozkładem normalnym. Badania objęły wszystkie spółki (56), które
w całym okresie od 01.01.1996 r. do 28.02.2001 r. były notowane na...
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