Ryzyko a optymalizacja portfela papierów wartościowych w przedsiębiorstwie

Abstract

The main goal of this article is analysis of risk and rate of return from securities (mainly shares) from the point of view of applying different estimation methods. The article is composed of three parts. The first part discusses the problem of risk in relation to the rate of return from investments. The second part describes the characteristics of particular types of risk. Finally, in the third part there are presented some methods of estimating the investment risk and an example is given of estimating particular measures of risk for joint stock companies listed on the Polish Stock Exchange for the period 1992-1994 (i.e. from 82nd to 381st session). These methods are used widely in many countries. Owing to them, investors seek ways ensuring that the allocation of invested funds leads to the reduction of risk and, simultaneously, yields profits. The above methods not only estimate risk but they also characterize each type of securities in a specific manner, while a detailed analysis seeks causes of such and no other results. It should be underlined that application of the above methods of estimating risk and rate of return from particular securities in the investment portfolio is the more effective the more liquid and effective is the securities market.