Informacja

Drogi użytkowniku, aplikacja do prawidłowego działania wymaga obsługi JavaScript. Proszę włącz obsługę JavaScript w Twojej przeglądarce.

English (EN)·Polski (PL)·Yкраїнський (UK)
Przejdź do strony domowej biblioteki Centralna Biblioteka Wojskowa Link otwiera się w nowym oknie Logo biblioteki Prolib Integro - strona głównaCentralna Biblioteka Wojskowa

Wyszukujesz frazę "portfolio optimization" wg kryterium: Temat

  Lista filtrów
Wyrównaj
    Wyświetlanie 1-10 z 10
    Tytuł:
    A condition for asset redundancy in the mean-variance model of portfolio investment
    Autorzy:
    Juszczuk, Przemysław
    Kaliszewski, Ignacy
    Miroforidis, Janusz
    Podkopaev, Dmitry
    Powiązania:
    https://bibliotekanauki.pl/articles/2050025.pdf
    Data publikacji:
    2020
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    modern portfolio theory
    Markowitz model
    meanvariance portfolio optimization
    asset redundancy
    problem size
    Opis:
    The mean-variance approach to portfolio investment exploits the fact that the diversification of investments by combination of different assets in one portfolio allows for reducing the financial risks significantly. The mean-variance model is formulated as a bi-objective optimization problem with linear (expected return) and quadratic (variance) objective functions. Given a set of available assets, the investor searches for a portfolio yielding the most preferred combination of these objectives. Naturally, the search is limited to the set of non-dominated combinations, referred to as the Pareto front. Due to the globalization of financial markets, investors nowadays have access to large numbers of assets. We examine the possibility of reducing the problem size by identifying those assets, whose removal does not affect the resulting Pareto front, thereby not deteriorating the quality of the solution from the investor’s perspective. We found a sufficient condition for asset redundancy, which can be verified before solving the problem. This condition is based on the possibility of reallocating the share of one asset in a portfolio to another asset without deteriorating the objective function values. We also proposed a parametric relaxation of this condition, making it possible to removemore assets for a price of a negligible deterioration of the Pareto front. Computational experiments conducted on five real-world problems have demonstrated that the problem size can be reduced significantly using the proposed approach.
    Źródło:
    Control and Cybernetics; 2020, 49, 2; 179-191
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    An interactive compromise programming for portfolio investment problem
    Autorzy:
    Karelkina, Olga
    Powiązania:
    https://bibliotekanauki.pl/articles/2050029.pdf
    Data publikacji:
    2020
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    modern portfolio theory
    Markowitz model
    meanvariance portfolio optimization
    interactive multicriteria optimization
    parameterized achievement scalarizing functions
    Opis:
    This paper addresses an approach for solving multicriteria portfolio investment problem. The original Markowitz mean-variance model is formulated as a problem of bi-objective optimization with linear and quadratic objective functions. In the current work, this model is extended by introducing a new objective, reflecting asset properties that are useful for the portfolio allocation process. A method based on parameterized achievement scalarizing function is applied to produce Pareto optimal portfolios. A mathematical programming formulation that allows for solving the problem with conventional optimization methods is presented. In addition, a method of reflecting the decision maker’s preferences by means of changing the weights in the achievement scalarizing functions is introduced. A decision making process is simulated for the three-objective portfolio optimization problem.
    Źródło:
    Control and Cybernetics; 2020, 49, 2; 193-210
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Performance of robust portfolio optimization in crisis periods
    Autorzy:
    Balcilar, M.
    Ozun, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/205665.pdf
    Data publikacji:
    2013
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    robust control procedures
    RobustRisk
    portfolio optimization
    Monte Carlo simulation
    global crisis
    Opis:
    We examin empirical performances of two alterna- tive robust optimization models, namely the worst-case conditional value-at-risk (worst-case CVaR) model and the nominal conditional value-at-risk (CVaR) model in crisis periods. Both models are based on historical value-at-risk methodology. These performances are compared by using a portfolio constructed on the basis of daily clos- ing values of different stock indices in developed markets using data from 1990 to 2013. An empirical evidence is produced with Ro- bustRisk software application. Both a Monte-Carlo simulation and an out-of-sample test show that robust optimization with worst-case CVaR model outperforms the nominal CVaR model in the crisis peri- ods. However, the trade-off between model misspecification risk and return maximization depending on the market movements should be optimized in a robust model selection.
    Źródło:
    Control and Cybernetics; 2013, 42, 4; 855-871
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Information pricing for portfolio optimization
    Autorzy:
    Banek, T.
    Kulikowski, R.
    Powiązania:
    https://bibliotekanauki.pl/articles/970590.pdf
    Data publikacji:
    2003
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    wartość informacji
    martyngał
    optymalizacja portfela inwestycyjnego
    value of information
    martingale
    portfolio optimization
    Opis:
    We consider the following problem: is there a rational or fair price for the reports made by analysts, experts, investor advisers concerning the rate of return (RR) of investments? We define the notion of the value of information included in the family of probability distributions of the RR. Next, we illustrate this notion for a linear-quadratic utility function.
    Źródło:
    Control and Cybernetics; 2003, 32, 4; 867-882
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Multiobjective duality for the Markowitz portfolio optimization problem
    Autorzy:
    Wanka, G.
    Powiązania:
    https://bibliotekanauki.pl/articles/206011.pdf
    Data publikacji:
    1999
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    dualność
    optymalizacja
    duality
    expected return
    investment
    Markowitz model
    optimality conditions
    portfolio optimization
    Opis:
    The classical Markowitz approach to portfolio selection leads to a biobjective optimization problem where the objectives are the expected return and the variance of a portfolio. In this paper a biobjective dual optimization problem to the Markowitz portfolio optimization problem is introduced and analyzed. For the Markowitz problem and its dual, weak and strong vector duality assertions are derived. The optimality conditions are also verified.
    Źródło:
    Control and Cybernetics; 1999, 28, 4; 691-702
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    A recursive procedure for selecting optimal portfolio according to the MAD model
    Autorzy:
    Michałowski, W.
    Ogryczak, W.
    Powiązania:
    https://bibliotekanauki.pl/articles/205763.pdf
    Data publikacji:
    1999
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    optymalizacja
    programowanie liniowe
    downside risk aversion
    investment
    linear programming
    portfolio optimization
    quadratic programming
    risk management
    Opis:
    The mathematical model of portfolio optimization is usually represented as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. Im a classical Markowitz model the risk is measured by a variance, thus resulting in a quadratic programming model. As an alternative, the MAD model was proposed where risk is measured by (mean) absolute deviation instead of a variance. The MAD model is computationally attractive, since it is transformed into an easy to solve linear programming program. In this paper we poesent a recursive procedure which allows to identify optimal portfolio of the MAD model depending on investor's downside risk aversion.
    Źródło:
    Control and Cybernetics; 1999, 28, 4; 725-738
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Two factors utility approach
    Autorzy:
    Kulikowski, R.
    Powiązania:
    https://bibliotekanauki.pl/articles/206747.pdf
    Data publikacji:
    1998
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    optymalizacja
    expected return
    investment allocation
    optimum investment strategies
    portfolio optimization
    portfolio variance
    risk aversion
    utility function
    worse case return
    Opis:
    This paper deals with optimization of portfolios composed of securities (equities). The drawbacks of existing methodologies, based on a single factor utility function, are indicated. The two-factor utility function introduced takes into account the expected excess return and expected worst case return (both in monetary units). Assuming that utility is "risk averse" and "constant returns to scale", a theorem on existence of optimum strategy of investments is proven. The optimum strategy is derived in an explicit form. A numerical example is also given.
    Źródło:
    Control and Cybernetics; 1998, 27, 3; 417-428
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Portfolio optimization - two rules approach
    Autorzy:
    Kulikowski, R.
    Powiązania:
    https://bibliotekanauki.pl/articles/206858.pdf
    Data publikacji:
    1998
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    optymalizacja
    optymalizacja portfela
    expected return
    investment allocation
    optimum investment strategies
    portfolio optimization
    portfolio variance
    risk aversion
    utility function
    worse case return
    Opis:
    The new approach to the portfolio optimization, based on the concept of two-factor utility function, is proposed. The first factor describes the expected average profit, while the second - the worse case profit. Then, two rules enabling one to compose an optimum portfolio are formulated. The first rule determines the level of acceptance for all assets with given risk/return ratio. The second rule enables one to allocate the investment fund among all the accepted assets. The methodology proposed does not require to specify the individual utility function in an explicit form. It can be used to optimize portfolios composed of equities as well as bond and other securities, using a passive or - active management strategy.
    Źródło:
    Control and Cybernetics; 1998, 27, 3; 429-446
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Application of modern portfolio theory to the Russian state bond market
    Autorzy:
    Pervozvanskij, A.
    Barinov, V.
    Kozlova, O.
    Powiązania:
    https://bibliotekanauki.pl/articles/206658.pdf
    Data publikacji:
    1999
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    optymalizacja
    teoria decyzji
    forecasting
    forecasting errors
    forecasting theory
    investment
    portfolio optimization
    Russian state bond market
    statistical indices
    time series
    Opis:
    The behaviour of the Russian state bond market is analyzed. Attention is mainly paid to short-term fluctuations and efficiency of short-term investments. Analysis of return time series has shown that there exists a significant autocorrelation, and that distribution of random fluctuations is non-Gaussian. It predetermines a choice of forecasting schemes. The most efficient ones appear to be non-linear. The efficiency was checked not only by the traditional statistical indices by direct numerical experiments where various types of predictors were used as basic elements of decision rules. The decision algorithms have included the solution to the modified optimal portfolio problem where the forecasts were used as expected returns and the covariance matrix was estimated via forecasting errors.
    Źródło:
    Control and Cybernetics; 1999, 28, 4; 799-810
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Dynamic asset allocation under uncertainty for pension fund management
    Autorzy:
    Pflug, G.
    Świętanowski, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/205561.pdf
    Data publikacji:
    1999
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    model finansowy
    optymalizacja stochastyczna
    podejmowanie decyzji
    procesy Markowa
    asset liability management
    financial modeling
    investment
    pension fund management
    portfolio
    risk management
    stochastic dynamic optimization
    Opis:
    Decision making in managing the asset and liability structure of a pension fund can be supported by stochastic dynamic optimization. We discuss our model, which is based on data analysis and forecast for the asset-side as well as a simulation model for the liability side. The core of our decision support system consists of the following building blocks : a set of securities, a pricing module based on a multifactor Markov model to derive expected returns of securities, a simulation-based model for liabilities, a carefully chosen objective function suitable for the pension fund and a stochastic optimization problem solver. We consider the use of different objectives in the model and decomposition techniques to solve the stochastic portfolio optimization problem. Our final goal is to design an efficient parallel implementation.
    Źródło:
    Control and Cybernetics; 1999, 28, 4; 755-777
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-10 z 10

      Ta witryna wykorzystuje pliki cookies do przechowywania informacji na Twoim komputerze. Pliki cookies stosujemy w celu świadczenia usług na najwyższym poziomie, w tym w sposób dostosowany do indywidualnych potrzeb. Korzystanie z witryny bez zmiany ustawień dotyczących cookies oznacza, że będą one zamieszczane w Twoim komputerze. W każdym momencie możesz dokonać zmiany ustawień dotyczących cookies