Managing investment portfolios is an old and well know problem in  financial mathematics and  engineering as well as in econometrics . In this paper,  various strategies of building such portfolios are analysed in different market conditions. A special attention is given to several realisations of a so called balanced portfolio, which is rooted in the natural "buy-low-sell-high" principle. Results show that there is no universal strategy, because they perform differently in different circumstances (e.g. for varying transaction costs). Moreover, the planned time of investment may also have a significant impact on the profitability of certain strategies. All methods have been tested with both simulated trajectories and real data from the Polish stock market.
Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far to describe methods of handling with financial assets, including differential equations, stochastic calculus and advanced statistics. In this paper, using a set of tools from the probability theory, various strategies of building financial portfolios are analysed in different market conditions. A special attention is given to several realisations of a so called balanced portfolio, which is rooted in the natural "buy-low-sell-high" principle. Results show that there is no universal strategy, because they perform differently in different circumstances (e.g. for varying transaction costs). Moreover, the planned time of investment may also have a significant impact on the profitability of certain strategies. All methods have been tested with both simulated trajectories and real data from the Polish stock market.
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multiple fields including
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financial
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in econometrics .
econometrics and econophysics. Multiple different concepts and theories were used so far to describe methods of handling with financial assets, including differential equations, stochastic calculus and advanced statistics.
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using a set of tools from the probability theory,
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such
financial