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Methods of finding the effective portfolio for semi-variance

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  • Anna Rutkowska-Ziarko

Abstract

W klasycznym modelu Markowitza ryzyko jest mierzone wariancją stóp zwrotu. Pewną wadą wariancji jako miary ryzyka jest jednakowe traktowanie odchyleń ujemnych i dodatnich od oczekiwanej stopy zwrotu. Markowitz do mierzenia tylko odchyleń ujemnych zdefiniował semiwariancję. Jednak znalezienie portfela o minimalnej semiwariancji jest znacznie trudniejsze niż znalezienie portfela o minimalnej wariancji. Nową metodę znajdowania portfela o minimalnej semiwariancji zaproponowano w niniejszej pracy.

Suggested Citation

  • Anna Rutkowska-Ziarko, 2005. "Methods of finding the effective portfolio for semi-variance," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 15(3-4), pages 63-83.
    • Handle: RePEc:wut:journl:v:3-4:y:2005:p:63-83
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    References listed on IDEAS

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    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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