Analiza portfela rynkowego

Grzegorz Koszela
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie, Wydział Nauk Ekonomicznych, Katedra Ekonometrii i Informatyki
Koszela, Grzegorz; ORCID: 0000-0003-4175-4450 (Szkoła Główna Gospodarstwa Wiejskiego w Warszawie, Wydział Nauk Ekonomicznych, Katedra Ekonometrii i Informatyki)
Analiza portfela rynkowego
The Analysis of Market Portfolio
Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej, 2004, vol., nr 52, s. 119-129

Abstract

Specialist bibliography offers an equation of the CML, but no formulae for market portfolio' s risk and return. It is connected with the omission of the equation of hyperbola, illustrating the interdependence between risk and return of a two-element portfolio. Co-ordinates of point C are the key for the selection of a portfolio with a predetermined risk of return from a ·CML. This paper fills in this gap. The paper also illustrates an issue of the short sale. Problems with the application of the above theory to multi-element portfolios consist in the fact that, starting from three-element portfolio, three is no clear equivalent of the equation determining the relation between return and risk. In a market portfolio the fundamental importance is attached to an adequate tangent to the hyperbola, its equation, and a point of tangency with the hyperbola. It means that it is impossible to apply the problem to the case of a portfolio assembled of a range of stocks (at least three) and one kind of bonds. Modifying the notion of a market portfolio by introducing a new notion of the so-called arbitrarily small risk portfolio, the author of this paper has achieved the possibility of a uniform characterization of portfolios assembled from any number of elements. A paper on the subject is prepared for publication.

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