Wykorzystanie symulacji stochastycznej do badania wrażliwości składu optymalnych portfeli akcji
Stochastic simulation optimal portfolios structures sensitivity analysis by stochastic simulation

Summary/Abstract: The paper presents the application of stochastic simulation technique in the analysis of sensitivity of optimal weights for chosen portfolio models. Risk is related to several elements of investment decision process: assumptions about joint probability distribution of the rates of return on stock, quality of expected rates of return, risk and correlation estimates, the choice of the optimization model criterion and constraints. The subject of analysis are the optimal stock portfolios for companies being the components of mWIG40 index on Warsaw Stock Exchange in the period 2009-2011 - we analyzed weekly rates of return. The simulation study was conducted in the aim of the optimal portfolio structures sensitivity investigation. The following models were taken into account: Markowitz model, the model minimizing conditional loss (CVaR), Telser model and the proposed model minimizing the impact of the correlation matrix first principal component on the portfolio variance. Rates of return were generated with the application of the method which preserves the structure and strength of the interrelationships among the series. The method is based on the correlation matrix eigenvalue decomposition Conducted simulation experiments allow us to recommend the choice of definite portfolio model to investors.

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