A stochastic criterion for the optimal investment process

• Autorzy: Bondarenko J. , Bidyuk P.
• Języki publikacji: EN

Abstrakty

EN

The paper describes an approach to the construction of a criterion suitable for optimization of an investment project. An income growth resulting from reaIization of the investment project is considered as a time sequence of random variabIes. Then an expression is derived which characterizes the project cost at a sequence of time intervals it and raises a possibility to find the real income as a random variable. Two situations are considered, namely when the investor possesses complete and incomplete information about the economic situation and the corresponding incomes. The obtained results can be used to construct an investment criterion in the case of a vague economic situation.

Słowa kluczowe

EN

stochastic criterion; optimization; random variable

PL

kryterium stochastyczne; optymalizacja; zmienna losowa

• Wydawca: Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
• Czasopismo: Applied Mathematics and Computer Science
• Rocznik: 1998
• Tom: Vol. 8, no 3
• Strony: 505--510
• Opis fizyczny: Bibliogr. 11 poz.

Twórcy

autor

Bondarenko J.

autor

Bidyuk P.

• Departament of Applied Mathematics, National Technical University of Ukraine, Kyiv Polytechnic Institute, 252056 pr. Peremogy, 37, Kyiv, Ukraine,