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Financial Leverage Usage for Active Management of the Investment Portfolio

Business: Theory and Practice

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Title Financial Leverage Usage for Active Management of the Investment Portfolio
Finansinio sverto naudojimas aktyviai valdant investicijų portfelį
 
Creator Rutkauskas, Aleksandras Vytautas
Žilinskij, Grigorij
 
Subject capital market model; financial leverage; efficient set; active portfolio management
kapitalo rinkos modelis; finansinis svertas; efektyvioji riba; aktyvus portfelio valdymas
 
Description The analysis of the portfolio theories was carried out in the article. H. Markowitz theory of an optimal portfolio formation was briefly described, the process of the portfolio selection was discussed, the basic corrections, improvements, development and application of the theory suggested by the scientists were named. With reference to the literature analysis the most suitable portfolio theory was chosen for further development, aiming at the application of the theory to active portfolio management using the financial leverage. The basic limitations of the chosen theory were evaluated in order to apply it to the subject of research, specific development solutions were suggested and, on the grounds of them, the adjusted efficient set was proposed. An empirical research was carried out, validating the expedience of the financial leverage usage when actively managing the investment portfolio, and evaluating the intensity of the financial leverage usage. Built  on the results of the research,the efficient set which was suggested in the theoretical-hypothetical part of the study was adjusted. 
Straipsnyje atlikta portfelio teorijų analizė. Trumpai aprašyta H. Markowitz optimalaus portfelio sudarymo teorija, aptartas portfelio pasirinkimo procesas, įvardytos pagrindinės mokslininkų siūlomos teorijos korekcijos, patobulinimai, vystymo ir taikymo kryptys. Remiantis literatūros analize, pasirinkta tinkamiausia portfelio teorija tolesnei plėtrai, siekiant ją taikyti aktyviam portfelio valdymui naudojant finansinį svertą. Įvertinti pagrindiniai pasirinktos teorijos netikslumai ir ribotumai siekiant ją pritaikyti tyrimo objektui, pasiūlyti konkretūs teorijos tobulinimo sprendimai ir, remiantis jais, pateikta patikslinta efektyvioji portfelių riba. Atliktas empirinis tyrimas, pagrindžiantis finansinio sverto naudojimo tikslingumą aktyviai valdant investicijų portfelį ir įvertinantis finansinio sverto naudojimo intensyvumą. Remiantis tyrimo rezultatais patikslinta efektyvioji riba, pasiūlyta teorinėje hipotetinėje darbo dalyje. 
 
Publisher Verslas: Teorija ir Praktika / Business: Theory and Practice
Business: Theory and Practice / Verslas: Teorija ir Praktika
 
Date 2011-01-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
application/pdf
 
Identifier http://www.btp.vgtu.lt/index.php/btp/article/view/btp.2010.22
10.3846/btp.2010.22
 
Source Verslas: Teorija ir Praktika / Business: Theory and Practice; Vol 11, No 3 (2010); 194-203
Business: Theory and Practice / Verslas: Teorija ir Praktika; Vol 11, No 3 (2010); 194-203
 
Relation http://www.btp.vgtu.lt/index.php/btp/article/view/btp.2010.22/22
http://www.btp.vgtu.lt/index.php/btp/article/view/btp.2010.22/pdf
 
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