Two factors utility approach

• Autorzy: Kulikowski R.
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

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

PL

optymalizacja

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 1998
• Tom: Vol. 27, no 3
• Strony: 417--428
• Opis fizyczny: Bibliogr. 7 poz.,Tab., wykr.,

Twórcy

autor

Kulikowski R.

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