Temat: expected return - Prolib Integro

Skocz do pozycji: 1.

Tytuł:: Multiobjective duality for the Markowitz portfolio optimization problem
Autorzy:: Wanka, G.
Tematy:: dualność
optymalizacja
duality
expected return
investment
Markowitz model
optimality conditions
portfolio optimization; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/206011.pdf Link otwiera się w nowym oknie
Opis:: The classical Markowitz approach to portfolio selection leads to a biobjective optimization problem where the objectives are the expected return and the variance of a portfolio. In this paper a biobjective dual optimization problem to the Markowitz portfolio optimization problem is introduced and analyzed. For the Markowitz problem and its dual, weak and strong vector duality assertions are derived. The optimality conditions are also verified.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: THE PORTFOLIO OF FINANCIAL ASSETS OPTIMIZATION. DIFFERENT APPROACHES TO ASSESS RISK
Autorzy:: Hrytsiuk, Petro
Tematy:: portfolio of assets
expected return
risk measure
variance
Value-at-Risk
conditional Value-at-Risk; Pokaż więcej
Wydawca:: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Powiązania:: https://bibliotekanauki.pl/articles/453543.pdf Link otwiera się w nowym oknie
Opis:: Modern research has led to the rejection of the hypothesis of a normal distribution for financial asset returns. Under these conditions, the portfolio variance loses part of its informativity and can not serve as a good risk measure. The central aim of this work is the development and justification of a new technique of portfolio risk measure. We analyzed weekly stock returns of four largest German concerns: Deutsche Telekom, Siemens AG, Bayer AG and BMW. It is shown that asset returns are not normally distributed, but with good precision follow Laplace distribution (double exponential distribution). Using Laplace distribution function, we obtained the analytical expressions for VaR and CVaR risk measures and made calculations of risk measure using these approaches. Using modified Markowitz model the efficient frontiers of portfolios were constructed.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Two factors utility approach
Autorzy:: Kulikowski, R.
Tematy:: optymalizacja
expected return
investment allocation
optimum investment strategies
portfolio optimization
portfolio variance
risk aversion
utility function
worse case return; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/206747.pdf Link otwiera się w nowym oknie
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.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 4.

Tytuł:: Portfolio optimization - two rules approach
Autorzy:: Kulikowski, R.
Tematy:: optymalizacja
optymalizacja portfela
expected return
investment allocation
optimum investment strategies
portfolio optimization
portfolio variance
risk aversion
utility function
worse case return; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/206858.pdf Link otwiera się w nowym oknie
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.
Dostawca treści:: Biblioteka Nauki

Artykuł

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