Working Papers

Seria wydawnicza WNE WORKING PAPERS prowadzona jest przez WNE UW od 2008 r. i jak dotąd opublikowano w niej ponad 400 prac.

Seria WNE Working Papers służy szybkiemu upowszechnianiu wyników badań prowadzonych na Wydziale Nauk Ekonomicznych UW. Publikowane tu teksty mają charakter wersji roboczych (pre-printów): mogą być uzupełniane lub poprawiane w miarę postępu prac nad tekstem i procesu wydawniczego. Prezentujemy aktualną wersję udostępnioną przez autorów, opatrzoną datą oraz identyfikatorami DOI/ISSN – co ułatwia jej cytowanie i śledzenie kolejnych iteracji. Każdy dokument zachowuje pełne prawa autorskie swoich twórców, a w przypadku późniejszych zmian, autorzy mogą w dowolnym momencie zamieścić zaktualizowany plik lub wskazać miejsce ostatecznego wydania.

Do serii WORKING PAPERS przyjmowane są artykuły pracowników naukowych WNE UW oraz publikacje z konferencji organizowanych na WNE UW. Artykuły powinny dotyczyć ekonomii, mieć charakter oryginalnych prac badawczych, nie być wcześniej publikowane. Przyjmowane są wyłącznie teksty w języku angielskim.

Prace prosimy przesyłać e-mailem na adres: {V.r31fcUO*'}K[X-$uk0&\mR9_]#[sF{^wzNT3@juqbSGm/kc9iAc[*L

Prosimy przesyłać dwa pliki:

(1) główny tekst bez podania tytułu artykułu oraz autorów (plik DOC/DOCX) oraz

(2) stronę tytułową zawierającą: tytuł opracowania, autorów oraz ich afiliację (plik DOC/DOCX). 

Przed przesłaniem tekstu prosimy zapoznać się z szczegółowymi wymogami edycyjnymi.

Redaktorem wydawniczym serii Working Papers jest dr Maciej Bukowski.

Ilość wyników 3

WP(42/2020)348. Does Bitcoin Improve Investment Portfolio Efficiency?

Autorzy: Sakowski Paweł, Turovtseva Daria
The aim of the paper is to check if cryptocurrency Bitcoin – a new investable asset class representative – is able to improve the performance of an optimal portfolio. Using two Markowitz criteria of optimization – expected return ma…

WP348. Does Bitcoin Improve Investment Portfolio Efficiency?

The aim of the paper is to check if cryptocurrency Bitcoin – a new investable asset class representative – is able to improve the performance of an optimal portfolio. Using two Markowitz criteria of optimization – expected return maximization and expected shortfall (CVaR) minimization – we test the investment opportunities after adding Bitcoin to the portfolio of 10 traditional assets (among them equity, fixed income, money, commodities and money market indices). Using daily observations from 1.05.2013 till 24.05.2019, we examine the behavior of the portfolios without and with Bitcoin and check if the return-risk ratio improves for the latter. Discussing the results, we conduct the sensitivity analysis by changing the lookback window (LB) and rebalancing frequency (RB) parameters. Empirical analysis suggests that Bitcoin-inclusive portfolios provide an investor with wider diversification opportunities. Robustness check confirms the findings and also advocates for the cryptocurrency to be added to the portfolio.


Sakowski Paweł, Turovtseva Daria
Portfolio optimization portfolio theory cryptocurrency Bitcoin Markowitz model asset allocation portfolio diversification investment opportunities

WP(9/2016)200. Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?

Autorzy: Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
We find that detailed analysis of multi-factor models makes it possible to propose investment strategies based on equity risk premium disequlibrium. We examine two investment algorithms built on weekly data of world equity indices for emerging and de…

WP200. Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?

We find that detailed analysis of multi-factor models makes it possible to propose investment strategies based on equity risk premium disequlibrium. We examine two investment algorithms built on weekly data of world equity indices for emerging and developed countries in the period of 2000-2015. We create seven risk factors using additional data about market capitalisation, book value, country GDP and betas of equity indices. The first strategy utilises theoretical value of equity risk premium from seven-factor Markov-switching model with variables common for all countries and variables specific to developed/emerging countries. We compare theoretical with realised equity risk premium for a given index to undertake the buy/sell decisions. The second algorithm works only on eight risk factors and applies them as input variables to Markowitz models with alternative optimisation criteria (target risk, target return, maximum Sharpe ratio, minimum variance and equally weighted assets). Finally, we notice that the impact of risk factors on final results of investment strategy is much more important than the selection of a particular econometric model in order to correctly evaluate equity risk premium.


Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
investment algorithms multi-factor models Markov switching model asset pricing models equity risk premia risk factors Markowitz model

WP(26/2014)143. Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies

Autorzy: Jabłecki Juliusz, Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, Wójcik Piotr
This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it.…

WP143. Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies

This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it. We also use various assets, data frequencies, and investment horizons to get a comprehensive picture of our results? robustness. Investment strategies including VIX futures do not always deliver higher returns or higher Sharpe ratios for the period 2006-2013. Their performance is quite sensitive to changes in model parameters. However, including VIX significantly increases the returns in almost all cases during the recent financial crisis. This result clearly emphasizes potential gains of having such an asset in the portfolio in case of very high volatility in financial markets.


Jabłecki Juliusz, Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, Wójcik Piotr
volatility VIX futures investment strategies optimal portfolio selection Markowitz model Black-Litterman model
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