[Accumulation of funds under the IKE pension system and WIG20 index fluctuation]

Accumulation of funds under the IKE pension system and WIG20 index fluctuation

wig20 analiza

The paper proposes the fundamental portfolio of securities. This portfolio is an alternative to the classic Markowitz model, which combines fundamental analysis with portfolio analysis. The method’s main idea is based on the use of the TMAI synthetic measure and, in limited conditions, the use of risk and the portfolio’s rate of return in the objective function.

The most popular type, for both calls and puts, is Left Smirk (101 cases for 355 possible), rather than Reversed Right Smirk , Right Smile and Left Smile . Never occurred seven theoretical types, it means Flat Smile, Reversed Full Smile, Left Up, Right Up, Left Down, Right Down and Full Smile. Left and Right Slash, as well as Reversed Right Smile have occurred only several times (no more than 4).

MULTI TIME FRAME SYSTEM – konkretna strategia na rynku FOREX

Evaluation of the managers work is very complicated because of the ambivalence of benchmarks that are being used to calculate their salaries. This subject is highlighted especially at the time of economic downturn, when even the amounts that are paid to the managements are shocking for the observers. This article, however, focuses on the aspect of defining the proper reference, which would determinate the premium part of the management salaries. With the appropriate legislative regulations, remunerations of managers were well highlighted and so, that topic was exhibited to the wide debate. A major role was played here by the standards imposed by the Financial Supervision Commission and the Stock Exchange itself.

Similarly, on the central level, legislation regulates this issue. From that point, a very important documents are EU directives from the year 2004 and so-called „chimney law”. Literature describing the issue of rewarding the managers godziny otwarcia giełd na świecie is proposing to use many different benchmarks for the evaluation of managers work. The scope includes the simple ones, like net profits achieved by the company and more complicated like those based on the residual value.

Different variants of fundamental portfolio have been considered under empirical study. The effectiveness of the proposed solutions has been related to the classis portfolio constructed with the help of the Markowitz model and the WIG20 market index’s rate of re-turn. All portfolios were constructed with data on rates of return for 2005. The studied period comprises the end of the bull market, the crisis, the 2010 bull market and the 2011 crisis.

image of forex markets time zones

Transaction costs and the volatility implied by options prices. Analytical results reported that the most popular type, for both calls and puts, is Left Smirk (101 cases for 355 possible), rather than Reversed Right Smirk , Right Smile and Left Smile . Number https://ru.wikipedia.org/wiki/MetaTrader of smile types occurred on WSE for call and put options with expiring day of 16.09.2011 during the period 20.06.2011–16.09.2011 for three-point-smiles calculated with different moneyness (1.02 call means moneyness taken 0.98; 1; 1.02 for call options).

  • In practice, the US had a very weak session with clear declines in the majority of the shares.
  • Some other authors impute the smile to the behavior of traders or to their risk aversion, such as Bookstaber , Grossman and Zhou , Gemmill , Dumas, Fleming, and Whaley , Gemmill and Kamiyama among others.
  • For instance, some smile types or characteristic changes in these types could be attached with changes of volatility or could anticipate changes in volatility (it should be important for traders on options volatility).

Application of Blume Method in Forecasting Risk on the Example of Public Companies Listed on WIG20

Given that these values are known, the pricing formula relates the option price to the volatility of the underlying asset. An Exchange Traded Fund (ETF) is an investment fund or a security that tracks an underlying index such as stock portfolio or bonds. An ETF is traded on stock exchanges, ETFs are not shared assets, they are more like stocks https://en.forexpulse.info/ that get listed on an exchange. However, when listed on stock exchanges, the prices of Exchange Traded Fund are volatile, they fluctuate as they are traded in the market. Research that is being proposed refers to finding the ways to relate the remunerations of managements and supervisory boards to the results achieved by the company.

wig20 analiza

Differences in convexity of Smile types having the same higher/lower order of implied volatility values for three moneyness points. The only one parameter in the Black–Scholes pricing formulas that cannot be observed directly is the volatility of the underlying http://sdarmchennai.org/blog/jak-po/ asset price (stock, index, foreign currency, etc.). The underlying asset price and the other parameters, including the strike price of the option, time to expiration, interest rate, and dividend yield of the underlying asset, are relatively easy to observe.

In three cases, ATM point has the lowest value (these are smiles), and three types have ATM point at the highest value (these are reversed smiles). Subsequent studies by Sheikh and by Heynen used Rubinstein’s nonparametric tests to examine implied volatility patterns in index options. Sheikh found smile effects using transactions https://www.metatrader4.com/ru data for OEX call options from March 1983 to March 1987. Heynen examined the implied volatility of European Options Exchange (EOE) stock index options. Using Rubinstein’s approach and transaction data from January 23 to October 31, 1989, he found systematic smile effects, including a U-shaped term structure of implied volatility.

wig20 analiza

This allows for the evaluation of the solutions’ flexibility in various extreme situations. For the construction of the fundamental portfolio’s objective function and the TMAI, https://www.google.ru/search?newwindow=1&ei=IXPVXb3hHefJrgS8tqmICg&q=%D1%82%D0%BE%D1%80%D0%B3%D0%BE%D0%B2%D0%BB%D1%8F+%D0%BD%D0%B0+%D0%B1%D0%B8%D1%80%D0%B6%D0%B5&oq=%D1%82%D0%BE%D1%80%D0%B3%D0%BE%D0%B2%D0%BB%D1%8F+%D0%BD%D0%B0+%D0%B1%D0%B8%D1%80%D0%B6%D0%B5&gs_l=psy-ab.3..0l10.3426.8394..8633…1.2..0.105.1371.17j1……0….1..gws-wiz…..0..0i71j0i131j0i67j0i13.XkWjBnP8TAM&ved=0ahUKEwj99Ybgo_nlAhXnpIsKHTxbCqEQ4dUDCAo&uact=5 the study made use of financial and economic data on selected indicators retrieved from Notoria Serwis for 2005. The smile type classification analysis is presented in Table 3.


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