| Autor: Mirosława Gazińska, Waldemar Tarczyński | 435 |
Strony: 435-450
pełen tekst
Summary
The paper presents the use of non-classical break-even point (NBEP), both in the process of building a portfolio, and also in the process of choosing an optimal one. This method involves selecting the optimal portfolio from the proposed portfolios constructed using the Markowitz model.
The method has been verified by data from construction sector companies listed on the Warsaw Stock Exchange in 2005–2010. The portfolios indicated by the non-classical break-even point clearly exceed the WIG20 stock index both in the rise period (2006–2007) and the fall period (2008–2009 crisis).
The proposal is based on the use of non-classical break-even point for the portfolio of identified securities. Out of all the optimized portfolios, the most effective were the ones that had the best (lowest) breakeven point. Thus, a new analytical tool can be created, facilitating the assessment and optimal choice of securities.
pełen tekstSummary
The paper presents the use of non-classical break-even point (NBEP), both in the process of building a portfolio, and also in the process of choosing an optimal one. This method involves selecting the optimal portfolio from the proposed portfolios constructed using the Markowitz model.
The method has been verified by data from construction sector companies listed on the Warsaw Stock Exchange in 2005–2010. The portfolios indicated by the non-classical break-even point clearly exceed the WIG20 stock index both in the rise period (2006–2007) and the fall period (2008–2009 crisis).
The proposal is based on the use of non-classical break-even point for the portfolio of identified securities. Out of all the optimized portfolios, the most effective were the ones that had the best (lowest) breakeven point. Thus, a new analytical tool can be created, facilitating the assessment and optimal choice of securities.