Optimal investment horizons for the main indices of the Warsaw Stock Exchange
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RIS BIB ENDNOTEOptimal investment horizons for the main indices of the Warsaw Stock Exchange
Publication date: 10.02.2015
Technical Transactions, 2014, Fundamental Sciences Issue 3 NP (17) 2014, pp. 67-73
https://doi.org/10.4467/2353737XCT.14.314.3402Authors
Optimal investment horizons for the main indices of the Warsaw Stock Exchange
The investment horizon is the smallest time interval when an asset crosses a fixed value of the return level. For a given return level, the investment horizon distribution is created by putting the investment horizons into a histogram. We fit probability distribution function to the histogram. The maximum of the function is called the optimal investment horizon. We performed the analysis of some indices of the Warsaw Stock Exchange for WIG, WIG20, mWIG40 and shares of KGHM and MBK. For these assets, we found the coefficients of linear proportion between the optimal investment horizons and the logarithm of their return levels.
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Information: Technical Transactions, 2014, Fundamental Sciences Issue 3 NP (17) 2014, pp. 67-73
Article type: Original article
Titles:
Optimal investment horizons for the main indices of the Warsaw Stock Exchange
Optimal investment horizons for the main indices of the Warsaw Stock Exchange
Institute of Physics, Faculty of Physic, Mathematics and Computer Science, Cracow University of Technology
Published at: 10.02.2015
Article status: Open
Licence: None
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