The Distributions of the Rates of Return on Fixed Target Semi-Variance Portfolios

Anna Rutkowska-Ziarko ()
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Anna Rutkowska-Ziarko: University of Warmia and Mazury in Olsztyn, Poland

Chapter 13 in Acta Universitatis Lodziensis. Folia Oeconomica nr 166/2003 - Modern Methods of Analysis and Forecasting Financial Markets, 2003, vol. 166, pp 199-207 from University of Lodz

Abstract: The distributions of the rates of return on the fixed target portfolios and classic Markowitz’s ones are compared on example of companies listed on the Warsaw Stock Exchange. The data used in the analysis refer to the period from 1.01.19% to 28.02.2001. The basic parameters of returns distribution are calculated. The returns on portfolios are non-normally distributed. The analysis of empirical results suggests that, for the Warsaw Stock Exchange, fixed target semi-variance is a more appropriate risk measure than variance.

Keywords: Semi-variance; Variance; Fixed target semi-variance portfolios; Risk measure (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2003:n:166:ch:13:foe

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