Linear and non-linear optimization models for the selection of investment portfolio
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-linear programming task in the other. In the experimental part of the resea...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2021-06-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/24233 |
| _version_ | 1819062650883014656 |
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| author | Sigutė Vakrinienė Gintautas Misevičius |
| author_facet | Sigutė Vakrinienė Gintautas Misevičius |
| author_sort | Sigutė Vakrinienė |
| collection | DOAJ |
| description | 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-linear programming 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. |
| first_indexed | 2024-12-21T15:02:10Z |
| format | Article |
| id | doaj.art-28e69f06f5894686b2cf64bc0aa5182a |
| institution | Directory Open Access Journal |
| issn | 0132-2818 2335-898X |
| language | English |
| last_indexed | 2024-12-21T15:02:10Z |
| publishDate | 2021-06-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj.art-28e69f06f5894686b2cf64bc0aa5182a2022-12-21T18:59:34ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2021-06-0147spec.10.15388/LMR.2007.24233Linear and non-linear optimization models for the selection of investment portfolioSigutė Vakrinienė0Gintautas Misevičius1Vilnius Gediminas Technical UniversityVilnius UniversityThis 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-linear programming 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.https://www.journals.vu.lt/LMR/article/view/24233investment portfoliolinear programmingnon-linear programmingmatrix game |
| spellingShingle | Sigutė Vakrinienė Gintautas Misevičius Linear and non-linear optimization models for the selection of investment portfolio Lietuvos Matematikos Rinkinys investment portfolio linear programming non-linear programming matrix game |
| title | Linear and non-linear optimization models for the selection of investment portfolio |
| title_full | Linear and non-linear optimization models for the selection of investment portfolio |
| title_fullStr | Linear and non-linear optimization models for the selection of investment portfolio |
| title_full_unstemmed | Linear and non-linear optimization models for the selection of investment portfolio |
| title_short | Linear and non-linear optimization models for the selection of investment portfolio |
| title_sort | linear and non linear optimization models for the selection of investment portfolio |
| topic | investment portfolio linear programming non-linear programming matrix game |
| url | https://www.journals.vu.lt/LMR/article/view/24233 |
| work_keys_str_mv | AT sigutevakriniene linearandnonlinearoptimizationmodelsfortheselectionofinvestmentportfolio AT gintautasmisevicius linearandnonlinearoptimizationmodelsfortheselectionofinvestmentportfolio |