- 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