Risk Diversification on the Polish Capital Market

Waldemar Tarczyński () and Malgorzata Tarczynska-Luniewska ()

International Advances in Economic Research, 2006, vol. 12, issue 3, 308-317

Abstract: The basics of portfolio management theory and methods of efficient selection of assets and their financing have been created by Markowitz and Sharpe. They propose that risk diversification consists, generally speaking, of the increase in the number of securities in a portfolio. So, authors try to answer the question of how many securities have to be bought on a given market to assure a well-diversified portfolio, where the increase in the number of securities does not lead to a significant decrease in portfolio risk. To evaluate such a purpose on the Polish capital market, 20 companies were surveyed that are included in the WIG20 index in the period January 2–October 10, 2001. The returns were estimated on a weekly basis. The research shows that a portfolio of securities constructed, according to the Sharpe Model, has a wide application to the Polish capital market. Copyright IAES 2006

Keywords: C10 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s11294-006-9019-1

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