The classical models for the construction of an investment portfolio can be criticized for several reasons. First, it takes into account only information that is revealed in the market prices of stocks. Second, variance can be a poor risk measure if the distribution of returns differs much from...

The classical models for the construction of an investment portfolio can be criticized for several reasons. First, it takes into account only information that is revealed in the market prices of stocks. Second, variance can be a poor risk measure if the distribution of returns differs much from...

The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial...

In the paper we calculate the Okun's coefficient in the regions of Poland. We compare the coefficients calculated for each region separately with the estimations from seemingly unrelated regressions (SUR) models. We argue that the second method gives a better estimate, because shocks in output...

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

In the article we present some extension for the classical problem of dynamic investment optimization. We take the neoclassical model of growth with one product and many consumption goods. The number of consumption goods can be infinite and the consumption bundle is defined on some abstract,...

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

In the article we present some extension for the classical problem of dynamic investment optimization. We take the neoclassical model of growth with one product and many consumption goods. The number of consumption goods can be infinite and the consumption bundle is defined on some abstract,...