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Stability of Selected Linear Ranking Methods — An Attempt of Evaluation for the Polish Stock Market

  • Waldemar Tarczyński
  • Małgorzata Łuniewska
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)

Abstract

In the paper the original applications of linear methods are shown. The authors have considered three different ranking methods for constructing portfolios basing on a stable classification i.e: Generalised Distance Measure GDM, synthetic development measure TMAI, No-Pattern Method (standardized value sums methods). The results of linear ranking of the companies according to GDM have been evaluated in relation to the synthetic development measure TMAI and No-Pattern Method. The research was carried out for the companies listed on the Warsaw Stock Exchange in the period 2001–2002.

Keywords

Portfolio Risk Stable Classification Portfolio Analysis Fundamental Analysis Synthetic Variable 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin · Heidelberg 2005

Authors and Affiliations

  • Waldemar Tarczyński
    • 1
  • Małgorzata Łuniewska
    • 1
  1. 1.Department of Insurance and Capital MarketsUniversity of SzczecinSzczecinPoland

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