Taksonomia i zastosowanie metody Hellwiga w ocenie efektywności funduszy inwestycyjnych

Kopiński, Adam

doi:10.15611/pn.2014.330.20

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

2014

DOI: 10.15611/pn.2014.330.20

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Taksonomia i zastosowanie metody Hellwiga w ocenie efektywności funduszy inwestycyjnych

Adam Kopiński¹

Abstract: Informacje o naborze artykułów i zasadach recenzowania znajdują się na stronie internetowej Wydawnictwa www.wydawnictwo.ue.wroc.pl Kopiowanie i powielanie w jakiejkolwiek formie wymaga pisemnej zgody Wydawcy

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Evaluation of the Results of the Equity Funds in the Years 2004–2015 Using Var and Cvar Measures

Żebrowska‐Suchodolska

2018

aspe

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The paper presents analysis of the risk and effectiveness of investments in equity funds using value at risk (VaR) and conditional value at risk measures, i.e. reward to value at risk (RVaR) and conditional Sharpe ratio (CS). The study was conducted for 2004–2015, divided into shorter sub-periods (two-, three-, four- and five-year). The stability of the rankings of funds was examined and its significance was verified using the Spearman rank correlation coefficient between subsequent sub-periods. The highest values of measures were observed for 2004–2005. Even then, they were not satisfactory, and the lack of stability of the results does not guarantee that they will be repeated in the future.

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Evaluation of the Results of the Equity Funds in the Years 2004–2015 Using Var and Cvar Measures

Żebrowska‐Suchodolska

2018

aspe

View full text Add to dashboard Cite

show abstract

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Taksonomia i zastosowanie metody Hellwiga w ocenie efektywności funduszy inwestycyjnych

Abstract: Informacje o naborze artykułów i zasadach recenzowania znajdują się na stronie internetowej Wydawnictwa www.wydawnictwo.ue.wroc.pl Kopiowanie i powielanie w jakiejkolwiek formie wymaga pisemnej zgody Wydawcy

Cited by 1 publication

References 0 publications

Evaluation of the Results of the Equity Funds in the Years 2004–2015 Using Var and Cvar Measures

Evaluation of the Results of the Equity Funds in the Years 2004–2015 Using Var and Cvar Measures

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