MODEL STAŁEJ KORELACJI - WERYFIKACJA UŻYTECZNOŚCI NA POLSKIM RYNKU AKCJI
CONSTANT CORRELATION MODEL (CCM) - POLISH SHARE MARKET USABILITY VERIFICATION

Summary/Abstract: Estimation and interpretation of the results obtained in the Polish stock market using the constant correlation model, and comparison of these results with the benchmark. A simulation was conducted to create quarterly optimal portfolios consisting of stocks from the companies listed on the Polish stock exchange, using the constant correlation model. The obtained results were compared to the performance of a portfolio comprising all the stocks of the companies included in the study. The rate of return from portfolios generated using the constant correlation model was more than four times higher than the benchmark return during the study period. The extreme values of the returns observed during the simulation phases were noted for portfolios created using the model. The article presents the results of simulation of the constant correlation model over a 24-year period, for the Polish stock market. The results show that the model can be a useful instrument in the construction of optimal portfolios.

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