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Financial leverage usage for active management of the investment portfolio

Abstract

The analysis of the portfolio theories was carried out in the article. H. Markowitz theory of an optimal portfolio formation was briefly described, the process of the portfolio selection was discussed, the basic corrections, improvements, development and application of the theory suggested by the scientists were named. With reference to the literature analysis the most suitable portfolio theory was chosen for further development, aiming at the application of the theory to active portfolio management using the financial leverage. The basic limitations of the chosen theory were evaluated in order to apply it to the subject of research, specific development solutions were suggested and, on the grounds of them, the adjusted efficient set was proposed. An empirical research was carried out, validating the expedience of the financial leverage usage when actively managing the investment portfolio, and evaluating the intensity of the financial leverage usage. Built  on the results of the research,the efficient set which was suggested in the theoretical-hypothetical part of the study was adjusted.


Finansinio sverto naudojimas aktyviai valdant investicijų portfelį


Santrauka



Finansinio sverto naudojimas aktyviai valdant investicijų portfelį Straipsnyje atlikta portfelio teorijų analizė. Trumpai aprašyta H. Markowitz optimalaus portfelio sudarymo teorija, aptartas portfelio pasirinkimo procesas, įvardytos pagrindinės mokslininkų siūlomos teorijos korekcijos, patobulinimai, vystymo ir taikymo kryptys. Remiantis literatūros analize, pasirinkta tinkamiausia portfelio teorija tolesnei plėtrai, siekiant ją taikyti aktyviam  portfelio  valdymui  naudojant  finansinį  svertą.  Įvertinti  pagrindiniai  pasirinktos  teorijos  netikslumai  ir  ribotumai siekiant ją pritaikyti tyrimo objektui, pasiūlyti konkretūs teorijos tobulinimo sprendimai ir, remiantis jais, pateikta patikslinta efektyvioji portfelių riba. Atliktas empirinis tyrimas, pagrindžiantis finansinio sverto naudojimo tikslingumą aktyviai valdant investicijų portfelį ir įvertinantis finansinio sverto naudojimo intensyvumą. Remiantis tyrimo rezultatais patikslinta efektyvioji riba, pasiūlyta teorinėje hipotetinėje darbo dalyje.


Reikšminiai žodžiai: kapitalo rinkos modelis, finansinis svertas, efektyvioji riba, aktyvus portfelio valdymas.

Keyword : capital market model, financial leverage, efficient set, active portfolio management

How to Cite
Rutkauskas, A., & Žilinskij, G. (2010). Financial leverage usage for active management of the investment portfolio. Business: Theory and Practice, 11(3), 194-203. https://doi.org/10.3846/btp.2010.22
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Sep 6, 2010
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