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CHAPTER1
METHODSOFRISKASSESSMENT
ININVESTMENTACTIVITIES
EwaMłynarczyk
TomaszWęgrzyn
UniwersytetEkonomicznywKatowicach
APPLYINGTHESKEWNESSMODEL
ONPOLISHSTOCKMARKET
Introduction
StandardMarkowitzmodelderivedin1952enablesinvestortoconstruct
aportfolioconsistentwithinvestor’sriskpreferencesthatislyingonthe
efficientfrontier.ThefundamentalassumptionoftheMarkowitzmodelis
normalityofdistributionofreturnsfromanasset(orinvestor’squadraticutility
function).Suchanassumptioncouldbeeasilyquestioned.Empiricalresearches
indicateexplicitlythatthereturnscannotbedescribedbytheGaussiandis-
tribution[5;8;10].Returnsshouldbedescribedbysomeasymmetricaldistri-
bution–itismorelikelytogaingenerallyhigherorlowerreturns9whichde-
pendsonthetypeofasymmetry.Whatismore9theMarkowitzmodelhas
asilentassumption9thattheinvestor’sriskpreferencesarealsosymmetric–
–investordoesnotwanttoexceedacertainexpectedvalueofreturnboth
inplusandinminus.Suchanassumptioncanbeconsideredasuntrueeither–
–itisobviousthatinvestoriskeenonpositivedeviationsfromthemeanvalue
ofthereturn(deviationsinplus)–i.e.theirattitudetowardspositivedeviation9
whentheexpectedrateofreturnisconcerned9ishighlyoptimistic.Investor’s
aimistominimizeprobabilityofgaininglowerrateofreturns9sothat9their
preferencesareasymmetric[9].
