| Title |
Tiesinio ir netiesinio optimizavimo modeliai investiciniam portfeliui pasirinkti / |
| Translation of Title |
Linear and non-linear optimizationmodels for the selection of investment portfolio. |
| Authors |
Vakrinienė, Sigutė ; Misevičius, Gintautas |
| DOI |
10.15388/LMR.2007.24233 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys.. Vilnius. 2007, t. 47, spec. nr, p. 383-388.. ISSN 0132-2818 |
| Keywords [eng] |
investment portfolio ; linear programming ; non-linear programming ; matrix game |
| Abstract [eng] |
This research suggests a maxmin model for the selection of investment portfolios. The risk evaluation coefficients are introduced. The components of portfolio are found by solving linear programming task in onemodel and non-linearprogramming task in the other. In the experimental part of the research ineffective portfolios exerted from these models are tested referring to the statistical data of the Baltic stock market. Realizations of the suggested portfolios with different risk coefficient values are compared to realizations of effective (Pareto optimal) portfolios. |
| Published |
Vilnius |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2007 |
| CC license |
|
