Hedging the investment portfolio with derivatives present on the Polish market

Tomasz Bernat () and Robert Ruszkiewicz ()
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Tomasz Bernat: University of Szczecin, Institute of Economics and Finance, Economics Department
Robert Ruszkiewicz: Private investor

Managerial Economics, 2023, vol. 24, issue 1, 7-26

Abstract: This paper explores the evolving nature of the capital market in the second and third decades of the 21st century, characterized by its widespread accessibility to individual investors. How-ever, the emergence of inexperienced investors driven by profit-seeking motives has led to non-conventional investment decisions resulting in significant losses. To address this challenge, the study investigates practical methods to minimize risk, focusing on the limited availability of derivatives in the Polish capital market. The research develops and tests an investment port-folio, drawing on Markowitz’s portfolio construction theory and Hull’s hedging strategy. The findings support the hypothesis that resilient investment portfolios can be constructed under Polish conditions using available tools and strategies.

Keywords: capital market; investment risk; portfolio construction (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:agh:journl:v:24:y:2023:i:1:p:7-26

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