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1
Management support by knowledge using the concept of utility of sustainable development
Kulikowski R.
Systems Science
|
2004
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Vol. 30, no 2
61-73
EN
The paper deals with management support employing the two-factors utility function. The first factor represents the expected return on invested capital while the second factor expresses the risk of the worse case (crises) survival. Such a utility function, being consistent with the behavioral prospect theory, is called utility of sustainable development. Using that concept it is possible to support the management activities which involve market and operational risks. It is also possible to derive the optimum strategies for the budget allocation among different projects or contracts. The methodology presented enables us also to derive a fair allocation of duties and benefits among the cooperating partners in organizations and find the best strategies of loss prevention or elimination (by insurance).
2
Balkony prefabrykowane o konstrukcji stalowej
Kulikowski R., Figwer J.
Przegląd Budowlany
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2004
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R. 75, nr 5
22-23
3
Content available remote Information pricing for portfolio optimization
Banek T., Kulikowski R.
Control and Cybernetics
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2003
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Vol. 32, no 4
867-882
EN
We consider the following problem: is there a rational or fair price for the reports made by analysts, experts, investor advisers concerning the rate of return (RR) of investments? We define the notion of the value of information included in the family of probability distributions of the RR. Next, we illustrate this notion for a linear-quadratic utility function.
4
Content available remote Value of Information for Portfolio Optimization
Banek T., Kulikowski R.
Bulletin of the Polish Academy of Sciences. Technical Sciences
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2003
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Vol. 51, nr 3
245-258
EN
We consider the following problem: is there a rational or fair price for the reports made by analysts, experts, investor advisers concerning the rate of return (RR) of investments? We define the notion of the value of information included in the family of probability distributions of the RR. Next, we illustrate this notion for a linear-quadratic utility function.
5
Content available remote On General Theory of Risk Management and Decision Support Systems
Kulikowski R.
Bulletin of the Polish Academy of Sciences. Technical Sciences
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2003
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Vol. 51, nr 3
213-226
EN
The paper extends the risk management theory based on the two factors utility concept introduced by Kulikowski [5],[6]. The extension concerns, in particular, the rate of return for financial as well as the human capital. The simple success - failure model is used for construction of the utility function. The utility function depends on the subjective probability, which is an explicite function of the objective probability of success. It depends also on the fear of risk quelling parameter. Using that function one can show when the utility of an unfair economic gamble or lottery can be accepted or rejected. Such an approach enables one to take into account the behavioural aspects in the decision support problems.
6
Content available remote Management of Intellectual Capital
Banek T., Kulikowski R.
Bulletin of the Polish Academy of Sciences. Technical Sciences
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2003
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Vol. 51, nr 3
205-211
EN
Two different types of firm's activity are considered as portfolio selection problems. First activity is an ordinary one. The second is innovative and extra-ordinary. To be profitable it must have enough of an "intellectual capital" (IC). Optimization problems for the firm are solved and the notion of IC is defind. Two different methodologies are discussed.
7
Content available remote Acceleration of Economic Growth by Technological Change and Knowledge Management
Kulikowski R.
Bulletin of the Polish Academy of Sciences. Technical Sciences
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2003
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Vol. 51, nr 3
323-333
EN
The paper deals with the methodology of knowledge management which is aimed at the acceleration of economic growth. The methodology is based on the subjective utility concept, introduced by Kulikowski [1998], which enables one to estimate the present value benefits resulting from the technological change and the cost of change. It enables also to derive, in an explicite form, the optimum strategies connected with alocation of a budget among the research institutes and research projects. The support of negotiations, connected with joint ventures, between the research institutes and business organizations, based on Nash principle and subjective utility, is also presented.
8
Content available remote URS Methodology - A Tool for Stimulation of Economic Growth by Innovations
Kulikowski R.
Bulletin of the Polish Academy of Sciences. Technical Sciences
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2002
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Vol. 50, Nr 1
79--92
EN
The paper introduces a new methodology for evaluation of innovations. It is based on the notation of utility, depending on the capital rate of return and safety. Safety is definded as the notion complementary to the value at research risk (VaR). The value as safety (VaS) is and increasing function of reasearch and development period (T). The methodology enables one to derive the optimum utility maximizing T and a ranking of innovation projects. The stimulation of economic growth by innovation is also studied.
9
Optimum strategy in risky challenge model
Kulikowski R.
Systems Science
|
2001
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Vol. 27, nr 1
39-48
EN
The paper deals with the modeling of challenge systems which exist in education, science, sport, business, etc. The model employs two scenarios outcome: the success, followed by award and zero award failure with given probabilities. A utility function, which takes into account the risk and award has been introduced and the optimum utility maximizing strategy has been derived. An application, with numerical example, in choosing the optimum education is also included.
10
Content available Optimization of survival strategy by application of safety dependent utility model
Kulikowski R.
Control and Cybernetics
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2000
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Vol. 29, no 1
167-178
EN
This paper deals with life-saving decisions. The decision maker can buy a number of death-averting devices or services which increase his safety S at the expense of the discounted future consumption R. The safety and consumption depend parametrically on the death probability p and the probability reducing strategy x, i.e. S(p/x); R(p/x). The two-factors utility function U(S, R) is used to find the optimum strategy x = [...]. which maximizes U(x). One can show that the unique strategy [...] exists and can be effectively derived. Many applications of proposed methodology are indicated.
11
Content available remote Valuation of catastrophe bonds
Kulikowski R., Jakubowski A.
Bulletin of the Polish Academy of Sciences. Technical Sciences
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2000
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Vol. 48, nr 2
182-211
EN
A new approach to valuation of bonds under the default risk conditions, based on the concept of the investors' two-factor utility function is proposed. The first factor describes the expected average return from the risky investments, while the second - the worst case return. As a class of risky securities the so called catastrophe bonds are considered. It is assumed that depending on the structure of the security contract, the investor who buys the bond issued by a local authority governing the risky region - will lose his interest payments and/or the principal value, if a catastrophic event occurs. In the paper, the problem of pricing the catastrophe bonds is thoroughly analysed. The answer to one main question is given. It is how much of the default risk premium should be paid to an investor in order to compensate for risk, attached to the consequences of a catastrophe which can occur wit h same estimated probability. For the purpose of the valuation procedure, the new notions of the security safety level, the safety index, as well as a two rules decision model are successively introduced. The subjective scale as a measure of the degree of individuals' risk aversion is proposed. The idea of objective and subjective risk components is investigated. The new methodology proposed is illustrated by a series of computational examples. The results obtained, in the assumed conditions closed to a real life practice, are widely interpreted and discussed.
12
Content available remote Optimum safety / return principle and applications
Kulikowski R.
Bulletin of the Polish Academy of Sciences. Technical Sciences
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2000
|
Vol. 48, nr 2
213-229
EN
The paper deals with the problem of the best relation between the investment rate of return and investment safety. Safety is defined as the notion opposite to the investment risk. The principle of optimum ratio safety / return says that the ratio should be equal investor's sensitivity to safety over the marginal cost of substitution (safety for return). Three applications of the principle are given. The first is concerned with the optimization of portfolio which consists of risky shares and risk-free bonds. In the next example one finds the best strategy for life-time insurance. In the last example one derives the best fillancialleverage strategy.
13
Content available Two factors utility approach
Kulikowski R.
Control and Cybernetics
|
1998
|
Vol. 27, no 3
417-428
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.
14
Content available Portfolio optimization - two rules approach
Kulikowski R.
Control and Cybernetics
|
1998
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Vol. 27, no 3
429-446
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.
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