- 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