Abstract

In this article, optimal investment portfolios with minimal risk and maximum efficiency were calculated. The portfolios were designated for ten selected European stock exchanges, based on the listings of the twenty largest companies in each of those markets. All calculations were made based on company shares only, company shares and investments in gold, shares of companies and investments in crude oil as well as shares of companies and investments in gold and crude oil. The research hypothesis tested in the study is: The share of alternative investments in the investment portfolio does not depend on the stock exchange, but it differs depending on the length of the estimation window used. The study showed that for most exchanges there were statistically significant differences for the distribution of the determined weight for alternative investments. However, it was noted that the longer the estimation window, the greater the number of exchanges with no differences in the distributions of that weight. In addition, for portfolios with minimal risk, there were larger differences between the designated weights of alternative investments than for the same portfolios, which were determined based on maximizing efficiency. It was also found that the longer the estimation window, the higher the efficiency of the designated portfolios. Moreover, the investment in gold had an average weight, in four-element portfolios with a minimum risk, greater than 60%. Oil investment in the same portfolios had an average weight of 28%.

摘要

在本文中，计算了风险最小和效率最高的最佳投资组合。根据这些市场中 20 家最大公司的上市情况，这些投资组合被指定用于 10 个选定的欧洲证券交易所。所有计算仅基于公司股份、公司股份和黄金投资、公司股份和原油投资以及公司股份和黄金和原油投资。研究中检验的研究假设是：另类投资在投资组合中所占的份额不取决于证券交易所，但取决于所使用的估计窗口的长度而有所不同。研究表明，对于大多数交易所，另类投资的确定权重分布在统计上存在显着差异。然而，有人指出，估计窗口越长，该权重分布没有差异的交换次数就越多。此外，对于风险最小的投资组合，另类投资的指定权重比以效率最大化为基础确定的相同投资组合存在更大的差异。还发现估计窗口越长，指定投资组合的效率越高。此外，黄金投资在风险最小的四要素投资组合中的平均权重大于 60%。相同投资组合中的石油投资平均权重为 28%。有人指出，估计窗口越长，该权重分布没有差异的交换次数就越多。此外，对于风险最小的投资组合，另类投资的指定权重比相同的投资组合存在更大的差异，这些权重是基于效率最大化来确定的。还发现估计窗口越长，指定投资组合的效率越高。此外，黄金投资在风险最小的四要素投资组合中的平均权重大于 60%。相同投资组合中的石油投资平均权重为 28%。有人指出，估计窗口越长，该权重分布没有差异的交换次数就越多。此外，对于风险最小的投资组合，另类投资的指定权重比以效率最大化为基础确定的相同投资组合存在更大的差异。还发现估计窗口越长，指定投资组合的效率越高。此外，黄金投资在风险最小的四要素投资组合中的平均权重大于 60%。相同投资组合中的石油投资平均权重为 28%。另类投资的指定权重与相同投资组合之间的差异更大，这是根据效率最大化确定的。还发现估计窗口越长，指定投资组合的效率越高。此外，黄金投资在风险最小的四要素投资组合中的平均权重大于 60%。相同投资组合中的石油投资平均权重为 28%。另类投资的指定权重与相同投资组合之间的差异更大，这是根据效率最大化确定的。还发现估计窗口越长，指定投资组合的效率越高。此外，黄金投资在风险最小的四要素投资组合中的平均权重大于 60%。相同投资组合中的石油投资平均权重为 28%。大于 60%。相同投资组合中的石油投资平均权重为 28%。大于 60%。相同投资组合中的石油投资平均权重为 28%。