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Resource type: article, chapter

System optymalizacji portfela obligacji (RB-1995-37-01)

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Title System optymalizacji portfela obligacji (RB-1995-37-01)
Persons Authors: Roman Włodzimierz Kulikowski
Partner: Systems Research Institute Polish Academy of Sciences, Warsaw
Description The paper deals with optimization of portfolios composed of securities (equities). The drawbacks of existing methodologies, based on single factor utility function, was indicated. The two-factors utility function introduced takes into account the expected excess return and expected worse case return (both in monetary units). Assuming that utility is 'risk averse' and 'constant return to scale', a theorem on existence of optimum strategy of investments was proven. The optimum strategy has been derived in an explicit form. A numerical example is also given. (English)
Keywords "optymalizacja portfela"@pl, "securities"@en, "expected worse case return"@en, "expected excess return"@en, "oczekiwany najmniejszy zysk"@pl, "oczekiwana nadwyżka"@pl, "portfolio optimization"@en, "papiery wartościowe"@pl, "two-factor utility"@en, "dwuczynnikowa funkcja użyteczności"@pl
Classification Resource type: article, chapter
Scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018)
Destination group: pupils, students, scientists
Harmful content: No
Characteristics Title of source document: RB-1995-37-01
Place of publication: Warszawa
Publisher: IBSPAN
Time of publication: 1995
From page: 1
To page: 12
Resource language: English
License CC BY-SA 4.0
Technical information Submitter: Anna Wasilewska
Availability date: 13-01-2023
Collections Kolekcja Instytutu Badań Systemowych PAN w Warszawie

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Roman Włodzimierz Kulikowski. System optymalizacji portfela obligacji (RB-1995-37-01). [article, chapter] Available in Atlas of Open Science Resources, . License: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Date of access: DD.MM.RRRR.

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