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001-es BibID:	BIBFORM052298
Első szerző:	Tarnóczi Tibor (közgazdász)
Cím:	The comparative risk and performance analysis of Hungarian and Romanian exchange indices / Tibor Tarnóczi, Edina Kulcsár
Dátum:	2013
ISSN:	1222-569X 1582-5450
Megjegyzések:	Nowadays, the most dominant characteristics of the financialenvironment are instability, variability, riskiness and uncertainty. It is difficult to find a field where the decision making process is risk-free. This statement is especially true in case of financial investments according to which risk taking is rewarded. But it is also true that the financial market participants cannot be completely avoided risks, but there are many options for managing and minimizing them. One of the most well-known theories of financial instruments' risk minimization is the modern portfolio theory, which is the collection of tools and techniques by which a risk-averse investor may construct an optimal portfolio. In portfolio theory it is also known the possibility of risky assets diversification to obtain the optimal return/risk ratio. Consequently, this paper aims to examine the efficient portfolio alternatives by determination of performance ratios based on CAPM model and modern portfolio theory, such as Sharpe ratio, Jensen's alpha and Treynor ratio and risk measuring methods, such as Value at Risk, or Expected Shortfall. In present research we concentrate to a comparative analysis of portfolios consist in main stock indices shares of two neighboring countries from Central and Eastern Europe: Hungary and Romania. The analysis was performed on the Romanian BET and Hungarian BUX stock market indices using the six-month daily closingprices. Data of the analysis were downloaded from the official websites of Romanian and Hungarian stock exchanges.The statistical analysis was made in R statistical system. Using such tools to uncover information and ask betterquestions will support the investors to make better and better investment decisions. The results of present research show a greater performance level for Romanian portfolio, butalso a higher level of risk, with lower volatility towardmarket changes and major specific risk. For the Hungarian portfolio, the performance is more temperate, the level of risk is also smaller and the volatility to market factors is more relevant, so the specific risk is moderate in this case.
Tárgyszavak:	Társadalomtudományok Gazdálkodás- és szervezéstudományok idegen nyelvű folyóiratközlemény külföldi lapban diversification portfolio theory risk efficient portfolio return performance analysis
Megjelenés:	Analele Universitatii din Oradea : Stiinte Economice = Annals of University of Oradea. Economic science 22 : 2 (2013), p. 451-462. -
További szerzők:	Kulcsár Edina (1987-) (közgazdász)
Internet cím:	Szerző által megadott URL Intézményi repozitóriumban (DEA) tárolt változat
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