Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1955222
The possibilities and consequences of investment decisions by stepwise optimization
Laima Okunevičiūtė Neverauskienė
Manuela Tvaronavičienė
Aleksandras Vytautas Rutkauskas
Irena Danilevičienė
Viktorija Stasytytė
Sažetak
The paper deals with the application of stochastic optimization principles for investment decision making. The authors present the investment management system based on an adequate portfolio model.
For optimal portfolio construction and stock selection, the method of
stochastically informative expertise and ranging is used. Investment
portfolios in equity and currency markets are formed considering
investor risk tolerance and risk preference level, as well as an individual utility function. Investment portfolios are constructed according
to three criteria: return, risk, and reliability. The markets of Germany,
the USA, and China, as well as foreign exchange markets, are analysed. The results reveal the efficient investment possibilities in the
mentioned markets, allowing to reach investment return substantially
exceeding market index return. Along with that, an innovative stochastic clustering methodology for investment assets is proposed.
The obtained results are of great value for individual as well as institutional investors and are a suitable means to form efficient investment strategies in financial markets.
Ključne riječi
Decision-making; investment portfolio; return; risk; uncertainty; utility; stochastic process
Hrčak ID:
302034
URI
Datum izdavanja:
31.3.2023.
Posjeta: 162 *