Temat: optimum - Katalog OPAC zbiorów

Skocz do pozycji: 1.

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

Skocz do pozycji: 2.

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

Skocz do pozycji: 3.

Tytuł:: Optimization of survival strategy by application of safety dependent utility model
Autorzy:: Kulikowski, R.
Powiązania:: https://bibliotekanauki.pl/articles/205749.pdf
Data publikacji:: 2000
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: optymalizacja
prawdopodobieństwo
ryzyko
teoria decyzji
teoria systemów
wzór użytkowy
death-averting
decision support
expcted return
life saving
optimization
optimum life-saving strategy
probability of death and survival
risk
safety
utility models
Opis:: This paper deals with life-saving decisions. The decision maker can buy a number of death-averting devices or services which increase his safety S at the expense of the discounted future consumption R. The safety and consumption depend parametrically on the death probability p and the probability reducing strategy x, i.e. S(p/x); R(p/x). The two-factors utility function U(S, R) is used to find the optimum strategy x = [...]. which maximizes U(x). One can show that the unique strategy [...] exists and can be effectively derived. Many applications of proposed methodology are indicated.
Źródło:: Control and Cybernetics; 2000, 29, 1; 167-178
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

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