Portfolio optimization - two rules approach

• Autorzy: Kulikowski R.
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

expected return; investment allocation; optimum investment strategies; portfolio optimization; portfolio variance; risk aversion; utility function; worse case return

PL

optymalizacja; optymalizacja portfela

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 1998
• Tom: Vol. 27, no 3
• Strony: 429--446
• Opis fizyczny: Bibliogr. 7 poz.,

Twórcy

autor

Kulikowski R.

• Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01-447 Warszawa, Poland