Ryzyko kwantylowe wybranych otwartych akcyjnych funduszy inwestycyjnych

Anna Rutkowska-Ziarko and Kamila Sobieska
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Anna Rutkowska-Ziarko: Uniwersytet Warmińsko-Mazurski w Olsztynie
Kamila Sobieska: Uniwersytet Warmińsko-Mazurski w Olsztynie

Collegium of Economic Analysis Annals, 2016, issue 40, 491-502

Abstract: The subject of the article is the risk related to stock investment funds. In the research, the quantile measures of risk were used, in particular value at risk and conditional value at risk. The aim was to determine and compare the risk of selected stock investment funds. An additional objective was the evaluation of the influence of length of the investment period on the risk of analysed funds. The investment funds of small and medium-sized companies were deemed the riskiest ones. The quintile risk in all analysed investment funds grew with the length of the investment period.

Keywords: quintile risk; value at risk; conditional value at risk; investment fund (search for similar items in EconPapers)
Date: 2016
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