Bariery w ekonometrycznym modelowaniu koniunktury

• Autorzy: Andrzej J. Skulimowski
• Języki publikacji: EN

Abstrakty

EN

This paper addresses the problem of dynamic selection of the portfolio structure so that the criteria of maximal rate of return, minimal risk, maximal investment flexibility, and the demanded consumption curve were simultaneously taken into account while looking for the investment strategy. We apply consequently the multicriteria approach, so that the method proposed should be flexible enough to model the preferences of a possibly large class of investors, being thus a universal tool for'a portfolio manager dealing with investors characterized by diversified risk attitudes. The desired consumption distribution over time serves at the same time as a trajectory objective and a reference trajectory in a multicriteria decision-making problem. As a special feature of the decision support model here presented, we allow to calculate the current value of portfolio and those of returns in several currencies simultaneously. Further, the user of the system is allowed to create his/her own artificial currencies fitting best his/her particular utilities.(fragment of text)

Słowa kluczowe

EN

Risk; Financial investment; Investment strategy

PL

Ryzyko; Inwestycje finansowe; Strategia inwestycyjna

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 1994
• Tom: Podejmowanie decyzji w warunkach niepełnej informacji - systemy wspomagania decyzji
• Strony: 105--121

Twórcy

autor

Andrzej J. Skulimowski

• Uniwersytet St. Gallen, Szwajcaria

Bibliografia

• A.M.J. Skulimowski, B.F. Schmid: Redundance-free Description of Partitioned Complex Systems. "Mathl Comput. Modelling" 1992, Vol. 16, No. 3, pp. 71-92
• H. Górecki, A.M.J. Skulimowski: A Joint Consideration ot Multiple Reference Points in Multicriteria Decision-making. "Found. Contr. Engrg." 1986, vol. 11, No. 2
• B.F. Schmid: Procedure for the Representation and Transformation of Information on Complex Systems. 4th International Symposium of Forecasting, London, July 8-11, 1984,in Multiobjective Decision Support in the Decision Space Defined by Availability of Resources. "Arch. Automatyki i Telemech." 1988, vol. 17, pp. 68-87
• A.M.J. Skulimowski: An Interactive Modification of the Decision Set to Attain a Target Point in Vector Optimization Problems In: Toward Interactive and Intelligent decision Support Systems vol. 1, Lecture Notes in Economics and Mathematical Systems, 285, Springer, pp. 142-153