On certain method of portfolio management. the theoretical strategy and the case of food industry stocks Cover Image

O pewnej strategii zarządzania portfelem. Teoria i przykład portfela spółek z sektora spożywczego
On certain method of portfolio management. the theoretical strategy and the case of food industry stocks

Author(s): Marek Andrzej Kociński
Subject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: portfolio risk; naive strategy; diversification of portfolio; Sharpe Ratio

Summary/Abstract: A number of recent papers on the management of the stock portfolio describes the advantages of the naïve diversification. The naïve strategy performs similarly to the ones which use sophisticated mathematical models. In this paper the strategy is presented which statistically significantly overperforms the naïve strategy.

  • Issue Year: XIII/2012
  • Issue No: 1
  • Page Range: 138-145
  • Page Count: 8
  • Language: Polish