The Warsaw Stock Exchange is still an immature market. According to many articles dealing with the problem of applying risk assessment models to the Polish stock market, techniques like the CAPM are still inadequate for young, developing, illiquid markets like the Polish one. In this paper, we...

The application of the Capital Asset Pricing Model, which is a mean-variance technique, requires the distribution of stock returns to be symmetric. Securities traded on many emerging capital markets, including the Warsaw Stock Exchange (WSE), usually do not have such a feature. In these cases,...