Economics and Business Review

ISSN 2392-1641
e-ISSN 2450-0097

Poznań University of Economics - Poland

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Volume 14 Number 2 pp. 80-96

Anna Rutkowska-Ziarko, Przemysław Garsztka

University of Warmia and Mazury in Olsztyn, Poland

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

Abstract: 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.(original abstract)
pub/2014_2_80.pdf Full text available in in Adobe Acrobat format:
http://www.ebr.edu.pl/volume14/issue2/2014_2_80.pdf
Keywords: Portfolio analysis, Risk management, Variance analysis, Analiza portfelowa, Zarządzanie ryzykiem, Analiza wariancji

For citation:

MLA Rutkowska-Ziarko, Anna, and Przemysław Garsztka. "Diversification of risk of a fundamental portfolio based on semi-variance." Economics and Business Review EBR 14.2 (): 80-96.
APA , (). Diversification of risk of a fundamental portfolio based on semi-variance. Economics and Business Review EBR 14(2), 80-96
ISO 690 RUTKOWSKA-ZIARKO, Anna, GARSZTKA, Przemysław. Diversification of risk of a fundamental portfolio based on semi-variance. Economics and Business Review EBR, , 14.2: 80-96.