Stochastic programming model for the selection of an optimal portfolio

被引：0
|
作者：
Vakriniene, Sigute [1 ]
Pabedinskaite, Arnoldina [2 ]
机构：
[1] Vilnius Gediminas Tech Univ, Fac Fundamental Sci, Dept Stat, Sauletekio 11, LT-10223 Vilnius, Lithuania
[2] Vilnius Gediminas Tech Univ, Fac Business Management, Dept Business Technol, Sauletekio 11, LT-10223 Vilnius, Lithuania
来源：
9TH INTERNATIONAL CONFERENCE: MODERN BUILDING MATERIALS, STRUCTURES AND TECHNIQUES, VOLS 1-3 | 2008年
关键词：
optimal portfolio; stochastic programming; linear programming; statistical matrix game;
D O I：
暂无
中图分类号：
TU [建筑科学];
学科分类号：
0813 ;
摘要：
The present paper proposes to use of a stochastic programming model for the selection of a portfolio from the set of efficient (Pareto optimal) portfolios. After making a presumption about distribution of the profit norm of the portfolio, a portfolio maximizing the bottom line of profit norm is found for the selected confidence level. By fixing the bottom line of profit norm, it is possible to find a portfolio which maximizes the probability that the profit norm of the portfolio will not be lower than the fixed one. Inefficient portfolios, which are obtained by solving a linear programming task and searching an optimal mixed strategy for a statistical matrix game, are modeled. In the experimental part, the models and their presumptions are tested on the basis of data of the Baltic Stock Exchange.
引用
收藏
页码：414 / +
页数：2
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