Friday, 18 March 2011: 09:20
The paper presents the developed conception use of non-classical break-even point (NBEP), both in the process of building a portfolio, and also in the process of choosing the optimal one. This method involves selecting the optimal portfolio from proposed portfolios constructed according to Markowitz model.
The method has been verified by data from selected sectors companies listed on the Warsaw Stock Exchange in 2005÷2010. The portfolios indicated by the non-classical break-even point clearly exceed the WIG20 stock index both in the rise period (2006÷2007) and the fall period (2008÷2009 crisis).
The proposal is based on the use of non-classical break-even point for the portfolio of identified securities. From all optimal portfolios, the most effective is the one, which characteristic is the best (lowest) breakeven point. Thus, a new analytical tool is created, facilitating the assessment of the securities and the optimal choice.