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Ryzyko kwantylowe wybranych otwartych akcyjnych funduszy inwestycyjnych

Author

Listed:
  • Anna Rutkowska-Ziarko

    (Uniwersytet Warmińsko-Mazurski w Olsztynie)

  • Kamila Sobieska

    (Uniwersytet Warmińsko-Mazurski w Olsztynie)

Abstract

The subject of the article is the risk related to stock investment funds. In the research, the quantile measures of risk were used, in particular value at risk and conditional value at risk. The aim was to determine and compare the risk of selected stock investment funds. An additional objective was the evaluation of the influence of length of the investment period on the risk of analysed funds. The investment funds of small and medium-sized companies were deemed the riskiest ones. The quintile risk in all analysed investment funds grew with the length of the investment period.

Suggested Citation

  • Anna Rutkowska-Ziarko & Kamila Sobieska, 2016. "Ryzyko kwantylowe wybranych otwartych akcyjnych funduszy inwestycyjnych," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 40, pages 491-502.
    • Handle: RePEc:sgh:annals:i:40:y:2016:p:491-502
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    References listed on IDEAS

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