Węgrzyn, Tomasz
December 2012
Financial Sciences / Nauki o Finansach;2012, Vol. 4 Issue 13, p52
Academic Journal
The constant proportion portfolio insurance (CPPI) strategy is one of the strategies whose main aim is to protect the minimum value of the investor's portfolio. The implementation of the strategy means that each change in stock prices causes modifications in the portfolio structure. In general, stocks are bought as their prices rise and stocks are sold as their prices fall. As a result, the portfolio risk fluctuates with the changes in the stock prices. The author analyses the efficiency of the CPPI strategy in the Polish capital market over a long period of time. The CPPI strategy is implemented to the chosen stocks quoted on the Warsaw Stock Exchange. Strategia CPPI jest jedną ze strategii, których głównym celem jest ochrona mi- nimalnej wartości portfela. Stosowanie strategii oznacza, że każda zmiana ceny akcji powoduje zmianę struktury portfela. Ogólnie akcje są kupowane, gdy ich ceny rosną, i sprzedawane, gdy ich ceny maleją. W rezultacie poziom ryzyka portfela podlega ciągłym zmianom. Autor bada efektywność strategii na polskim rynku kapitałowym w długim okresie. W tym celu strategia CPPI jest stosowana dla wybranych spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie.


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