ISSN: 2450-7741
eISSN: 2300-4460
OAI
DOI: 10.18276/frfu.2016.4.82/2-09
Issue archive /
4/2016
Markowitz versus Foster-Hart – what is the difference between efficient portfolios and the Foster-Hart portfolio?
| Authors: | Marcin Halicki |
| Keywords: | measurement risk portfolio management efficient frontier diversification |
| Data publikacji całości: | 2016 |
| Page range: | 12 (121-132) |
Abstract
Purpose – This publication has the task of presenting the relationship between the efficient portfolios lying on the efficient frontier with a portfolio which is built using the Foster-Hart risk measure. The aim of the derivative work is to indicate the direction for further research focused around the measure in the context of reducing investment risk. Design/methodology/approach – In the publication the literature in the area of portfolio management was used, as well as the hypothetical data that is formed for the basis of theoretical discussion. The study used analytical methods, including the method of linear programming. Findings – On the basis of the built portfolio based on the Foster-Hart measure and the developed efficient frontier it was stated that the measure has a completely different approach to the management of portfolios in relation to the model of Markowitz. It manifests itself primarily in the method of the risk measurement and its interpretation as well as in the portfolios’ construction. Originality/value – The method of building a portfolio was elaborated on by using the Foster-Hart measure and by showing its relationship with the constructed efficient portfolios based on the Markowitz model. Such a presentation in the literature cannot be found. The analysis thus has educational and practical values.
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