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On the hellwig method of feasible portfolio construction

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  • Andrzej Kokoszkiewicz
  • Michał Kolupa

Abstract

The work feasible portfolio is built into the work, that is, the k-dimensional Q column vector with components q i where q i ≥ 0 for i=1,...,k and q 1 +...+q k =1. We define i=1,...,k in the following way: $$q_1 =\frac{{r_i^2 }}{{1 - r_i^2 }}A^{ - 1} $$ , where: $$r_i =r(R_i ,R_M ) {\text{and}} A=\sum\limits_{i=1}^k {\frac{{r_i^2 }}{{1 - r_i^2 }}} $$ . It is indicated that if r i >r j , then q i >q j and, moreover, the q i =t i b i 2 relation occurs between q i and b i estimators of parameters of characteristic line: $$R_i =\alpha _i + \beta _i R_M + e_i (i=1,...,k)$$ , where t i is a certain constant. The effective formulas for a profit rate and risk of the constructed feasible portfolio are given. Copyright International Atlantic Economic Society 1997

Suggested Citation

  • Andrzej Kokoszkiewicz & Michał Kolupa, 1997. "On the hellwig method of feasible portfolio construction," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 3(4), pages 376-383, November.
    • Handle: RePEc:kap:iaecre:v:3:y:1997:i:4:p:376-383:10.1007/bf02295215
    DOI: 10.1007/BF02295215
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    Cited by:

    1. Gałecka Małgorzata & Smolny Katarzyna, 2019. "Criteria for the optimal financing model of public theatres," Review of Economic Perspectives, Sciendo, vol. 19(2), pages 119-136, June.

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