Institute of Economic Sciences

Informacje o naborze artykułów i zasadach recenzowania znajdują się na stronie internetowej Wydawnictwa www.pracenaukowe.ue.wroc.pl www.wydawnictwo.ue.wroc.pl Publikacja udostępniona na licencji Creative Commons Uznanie autorstwa-Użycie niekomercyjne-Bez utworów zależnych 3.0 Polska (CC BY-NC-ND 3.0 PL)

Aim/purpose-The aim of this paper is to evaluate the efficiency of an investing in investment funds with different risk levels in times of a future life expectancy increase. For this purpose, it was analysed how future prices of the investment funds' entities behave, depending on the window function and the age of the investors, in particular people of retirement age, for whom an investment income may be a supplementary way of raising additional capital. Design/methodology/approach-Based on the historical data of the funds chosen from the different risk groups, a simulation of their price behaviour in the window function was carried out covering investor's further life expectancy. Then, based on the result, the distribution of prices was analysed and the efficiency of investing in investment funds according to risk exposure was evaluated. Findings-According to the conducted analyses, the funds with the lowest efficiency were share funds. The best funds, in terms of efficiency, were bond and money funds. Research implications/limitations-The study was conducted on a limited number of funds, but this analysis can help take investment decisions. Originality/value/contribution-In this study, the investment in investment funds is treated as a long-term project which expires after 25-30 years, and therefore it may be problematic to use standard methods of evaluation for the purpose of this paper. As a result, the NPV (Net Present Value) method was applied as a measure of the investment's efficiency. In the literature, this approach to the evaluation of investment funds is unique.

The issue of the article focuses on the need for the selection of investment funds of the Warsaw Stock Exchange with a certain similarity in terms of investment risk. For this purpose, the selected hierarchical agglomeration procedures and the diagrams methods that allowed creating a map of the funds, describing their diversity and diversity of the market, were applied. In addition, the compatibility of the obtained results were verified in terms of the measures of the investment risks designated by the fund managers.

Streszczenie: Cel-Weryfikacja tezy: czy mimo różnic pomiędzy rynkami regulowanym i alternatywnym w Polsce, zachowany został efekt monotoniczności premii za ryzyko poniesione w inwestycje w akcje spółek notowanych na NC wraz ze wzrostem czynników fundamentalnych podwyższających ryzyko inwestycji. Metodologia badania-Oceny dokonano na podstawie modelu Famy-Frencha i testów oceniających stabilność jego parametrów, badając 12 portfeli testowych, charakteryzujących się różną wartością kapitalizacji spółek (od spółek dużych do małych) i różnymi wartościami czynnika bilansowego BV/BM (od wysokich wartości do wartości niskich). Wynik-Otrzymane wyniki potwierdzają możliwość występowania efektu monotoniczności premii za ryzyko również w odniesieniu do rynku NewConnect.

Wiedza na temat ryzyka i efektywności ma istotne znaczenie dla wszystkich uczest-ników giełdy, to jest klientów, inwestorów i podmiotów gospodarczych; dostarcza ona niezbędnych informacji pomocnych w podjęciu decyzji, w które walory, w danym momencie, warto ulokować kapitał, aby przy jak najmniejszym ryzyku wygenerować jak największy zysk. Najpowszechniejszymi miernikami stosowanymi przez zarządzających są tak zwane klasyczne miary ryzyka i efektywno-ści, jednak prawidłowe wnioskowanie na ich podstawie wymaga spełnienia założenia o normalności (log normalności) rozkładu stóp zwrotu. Dlatego też w pracy, po pierwsze, zbadano rozkład stóp zwrotu wybranych FI o zróżnicowanej strategii inwestycyjnej, a następnie zweryfikowano wpływ odejścia od normalności rozkładu na zasadność zastosowania miar alternatywnych. Dodatkowo w artykule poddano weryfikacji tezę, czy pozycje rankingowe funduszy zależą od przyjętych wskaźników efektywności. W konsekwencji okazało się, że rankingi tworzone na po...

Celem opracowania jest zbadanie rozkładu stóp zwrotu wybranych FI (reprezentantów grup o różnych strategiach inwestycyjnych) i zbadanie wpływu odejścia od normalności na poprawność zastosowania klasycznego i dolnostronnego współczynnika beta (semi-beta). Badania empiryczne oparto na analizie prostej regresji i korelacji opartych na tygodniowych szeregach stóp zwrotu FI notowanych na GPW. Wyniki badań empirycznych wskazują, że niezależnie od strategii inwestycyjnej FI są podstawy do odrzucenia hipotezy o normalności rozkładu stóp zwrotu w długim okresie, co oznacza po pierwsze konieczność zastosowania dolnostronnych systematycznych miar ryzyka, które wskazują, że rzeczywiste ryzyko systematyczne jest wyższe niż wynikałoby to z klasycznego beta. Przedstawione wyniki stanowią rekomendacje dla zarządzających funduszami inwestycyjnymi, co do sposobu oceny ryzyka systematycznego.

Traditionally, models developed by Treynor and Mazuy (T-M) and also by Henriksson-Merton (H-M), which are called market-timing models, are applied to assess effectiveness of investment funds. The objective of the presented study is an application of the T-M and H-M models and their T-M-FF and H-M-FF modifications with additional Fama-French factors to assess effectiveness and risk of equity insurance connected with unit-linked insurance. Estimation and verification of the models for the subject group of equity funds were performed and the significance of the impact of particular factors on returns on reference portfolios was discussed.

In this paper, the issue of the deliberate aging of products by manufacturers is discussed. Deliberate aging consists in intentionally planning or designing a product with an artificially limited lifetime in order to force consumers to replace it faster. The resulting rapid acceleration of the cycle of obtaining and utilizing consumer goods has serious consequences in the form of negative externalities. For this reason, the conscious aging of products is now recognized as the cause of unjustified consumption, generating huge economic and social costs and leading to the devastation of the natural environment and excessive exploitation of natural resources. Thus, it is in clear contradiction to the model of sustainable development. The aim of this paper was to identify the purchasing attitudes of buyers in the durable goods market. For its implementation, a pilot questionnaire study, which covered a representative group of 354 respondents, was carried out. The results indicate that th...

The MISS-E cornputer program is a me'thod for the modeling of continuous dynamic systems. This paper provides a general description of the program with special attention give11 to the inclusion of events into thc model. Events m:~y ir~teract with continuous variables ant1 also may influence the structure of the niodel. Thc model is constructed by interacting with the program. Tydeman 191, and Enzer I I]. In MISS-E, the occurrence of an event can influence: 1. The values of continuous variables, 2. The probabilities of occurrence of other events, and 3. The structure of the model. The influence of values of continuous variables on probabilities of events can be HALlNA KWASNICKA and WITOLD KWASNICKI are with the Futurcs

Evolutionary model of industrial dynamics, presented in this paper, can be classified as Schumpeterian one. The model describes the behaviour of a number of competing firms producing functionally equivalent products. Each firm tries to improve its position in the industry and in the market by introducing innovations in order to minimize the unit costs of production, maximize the productivity of capital, and maximize the competitiveness of its products on the market. The problem how decisions are made seems to be crucial for relevant modelling of socio-economic processes. The main aim of the simulations presented in the second part of the paper is to show how fluctuations and discontinuities occurs in economic processes due to boundedly rational decisions of competing firms. It is shown how fluctuation of 3–6 years and of 10 years periodicity can occur in an industry development because of firms' bounded rationality. Long waves of development of 50–60 years period (Kondratieff cy...

This paper contains a description of an evolutionary model of industrial dynamics and a report on the simulation study of the model. The presentation of the model is partitioned into two sections. In the first section I focus on the economic features of industrial development with no technological change embedded, while an extended version of this model with the search for innovation process included is presented in the next section.

The fact that business firms sizes show long-term stable skewed distributions is a wellestablished 'stylized fact' of industrial demography. One of the plausible explanations of this phenomenon is based on Gibrat's law of proportionate effect. Other explanations focus on optimal allocation of scarce factors of production. This paper proposes a different explanation, based on evolutionary mechanisms of industrial development, especially those related to search for innovation and selection. The outline of the evolutionary model of industrial dynamics is presented in the first section of the paper. In the second, part a simulation study of the model, focused on the necessary conditions of emergence of skewed firm size distributions, is presented. It is shown how skewed size distributions emerge if we allow firms to search for innovation and allow for entry of new firms.

The MISS-E cornputer program is a me'thod for the modeling of continuous dynamic systems. This paper provides a general description of the program with special attention give11 to the inclusion of events into thc model. Events m:~y ir~teract with continuous variables ant1 also may influence the structure of the niodel. Thc model is constructed by interacting with the program. Tydeman 191, and Enzer I I]. In MISS-E, the occurrence of an event can influence: 1. The values of continuous variables, 2. The probabilities of occurrence of other events, and 3. The structure of the model. The influence of values of continuous variables on probabilities of events can be HALlNA KWASNICKA and WITOLD KWASNICKI are with the Futurcs

A simple model of evolutionary processes (i.e., processu showing far-rraching analogies wifh biological evolution) and the results of a simulation study of the model arc presented. Thc model consists only of the main feanues of evolutionary processes aod has been worked out f a a special purpose: to show how thc tempo and mode of evolutionary processes depend on the population diversity in which those processes take place.

Although many models of technological substitution processes exist, only a few deal with multilevel technological substitution and still fewer may be easily applied to forecasting of real multilevel substitution processes. We propose a stochastic model of multilevel technological substitution and a forecasting method based on this model. In the authors' opinion, the developed algorithm may be easily applied to forecasting various technological substitution processes. An example of the application of this algorithm to forecasting of world energy consumption is presented. The algorithm makes possible an investigation of the impact of future innovation on the system's behavior.

Since publication of a seminal work by Richard Nelson and Sidney Winter in 1982 evolutionary models proliferated enormously. After two decades of experience it is possible to distinguish two main streams of development within an evolutionary modelling of economic processes. The first one relates to the work of Schumpeter and the second one is based on the concept of cellular automata, within a general framework of artificial life and Agent-based Computational Economics (ACE). Schumpeterian tradition seems to be closer to the work of Nelson and Winter therefore in this paper I will focus on models which can be called neoschumpeterian ones. My intention is to make comparative analysis of selected models much more from technical point of view then to make a review of evolutionary, neo-schumpeterian models. Matter presented in this paper ought to be considered as the first trial to describe this stream of evolutionary modelling of economic processes and it is my hope that it will be discussed later on with patricipants of the conference.