TITLE

ANALYSIS OF THE CPPI STRATEGY FOR STOCKS QUOTED ON THE WARSAW STOCK EXCHANGE

AUTHOR(S)
Węgrzyn, Tomasz
PUB. DATE
December 2012
SOURCE
Financial Sciences / Nauki o Finansach;2012, Vol. 4 Issue 13, p52
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
89906787

 

Related Articles

  • SIMULATION OF MARKOWITZ'S PORTFOLIO SELECTION USING CELLULAR AUTOMATA. ULFIK, AGNIESZKA // Studia i Materialy Polskiego Stowarzyszenia Zarzadzania Wiedza /;2011, Issue 42, p243 

    Paper presents simulation of process selection portfolio elements applying classical Markowitz's portfolio analysis theory using parallel computational environment - cellular automata. H. Markowitz has published is first paper about portfolio theory in 1952, considering two criteria: risk and...

  • THE LOW PRICE EFFECT ON THE POLISH MARKET. ZAREMBA, ADAM; ŻMUDZIŃSKI, RADOSŁAW // Financial Internet Quarterly 'e-Finanse';2014, Vol. 10 Issue 1, p69 

    In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....

  • Finding Growth Values. Quickel, Stephen W. // On Wall Street;May2002, Vol. 12 Issue 5, p78 

    Offers tips on where to find growth stocks of reasonable prices. Criteria to distinguish value of stocks; Definition of price/earnings to growth ratios; Significance of diversity in the distribution of stocks in various sectors.

  • Asset Pricing.  // NBER Reporter;Spring2003, p43 

    Presents several papers that were discussed at the National Bureau of Economic Research's Program on Asset Pricing which was held in Chicago, Illinois on April 11, 2003. 'The Information in Option Volume for Stock Prices,' by Jun Pan and Allen M. Poteshman; 'Inference About Survivors,' by...

  • The Price Behavior of Seasoned Equities around the Offering Date. Wu, Congsheng // Journal of Business & Economic Studies;Fall2001, Vol. 7 Issue 2, p14 

    Presents information on a study that examined price behavior around the offering dates of listed firms that have announced seasoned equity offerings. Significant relationship between monthly average underpricing and the total number of issues in the month; Dominating factor that affects...

  • Editor & Publisher U.S. media stock values.  // Editor & Publisher;8/26/95, Vol. 128 Issue 34, p28 

    Presents stock prices of various newspaper companies in the United States as of August 23, 1995. Includes A.H. Belo Corp.; American Media Inc.; American Publishing co.

  • Gefen/Schild recommends new mutual fund strategies for 2001.  // Fort Worth Business Press;02/09/2001, Vol. 13 Issue 42, p12 

    Focuses on the mutual fund portfolios in Boca Raton, Florida as of the year 2000. Decline in stock prices; Factors influencing capital gains; Relevance of mutual fund strategy to investors.

  • Can baby-boomers’ retirement increase stock prices? Kedar-Levy, Haim // Quarterly Review of Economics & Finance;May2006, Vol. 46 Issue 2, p284 

    Abstract: In a dynamic asset-pricing model with Hyperbolic Absolute Risk Aversion preferences, investors who have Decreasing Relative Risk Aversion have an age dependent component in their optimal asset allocation rule. Unlike conventional models, this component affects equilibrium equity...

  • Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market Martínez, Miguel A.; Nieto, Belén; Rubio, Gonzalo; Tapia, Mikel // International Review of Economics & Finance;2005, Vol. 14 Issue 1, p81 

    Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics