Real Time Investments with Adequate Portfolio Theory

• Autorzy: Alina Kvietkauskienė
• Języki publikacji: EN

Abstrakty

EN

Objective: The objective of this paper is to identify investment decision making schemes using the adequate portfolio model. This approach can be employed to project investment in stocks, using the opportunities offered by the markets and investor intelligence.

Research Design & Methods: It was decided to use adequate portfolio theory for investment decision making, simulation of financial markets, and optimisation of utility function.

Findings: In order to achieve better performance of sustainable returns in equity portfolio, different markets, and existing companies' equities and portfolios were selected, investigating their returns based on adequate portfolio theory. Implications & Recommendations: The main conclusion of article suggests investigating return on individual portfolio level. Real investment is a way to make sure of the soundness of applicable strategies.

Contribution & Value Added: The portfolios were formed from stocks of USA, German and French markets and quoted, using adequate investment portfolio system, in DNB Trade demo version, what allows monitoring of the long-term investment experiment. (original abstract)

Słowa kluczowe

EN

Investment; Markowitz portfolio theory; Uncertainty; Utility functions

PL

Inwestycje; Teoria portfelowa Markowitza; Niepewność; Funkcja użyteczności

• Czasopismo: Entrepreneurial Business and Economics Review
• Rocznik: 2014
• Tom: 2
• Numer: nr 4 New Developments in International Business and Economics in CEEs
• Strony: 85--100

Twórcy

autor

Alina Kvietkauskienė

• Vilnius Gediminas Technical University, Lithuania

Bibliografia

• Cibulkienė, D., & Butkus, M. (2009). Investicijų ekonomika: finansinės investicijos: mokomoji knyga. Šiauliai: VšĮ Šiaulių universiteto leidykla.
• Deng, S., & Min, X. (2013). Applied Optimization in global efficient portfolio construction using earnings forecasts. Journal of Investing, 22(4), 104-114.
• Guerard, J.B., Markowitz, H., & Xu, G.; Chettiappan, S. 2014. Investing in Global and Emerging Markets: An Application of Integer Programming Retrieved on September 15, 2014, from: http://forecasters.org/wp/wp-content/uploads/gravity_forms/7-2a51b93047891f1ec3608bdbd77ca58d/2014/08/GuerardMarkowitzXuChettiappan_ISF2014compliance_06212014.pdf.
• Guerard, J.B., Jr., Krauklis, E., & Kumar, M. (2012). Further analysis of efficient portfolios with the USER Model. Journal of Investing, 21(1), 81-88.
• Kancerevyčius, G. (2009). Finansai ir investicijos. III atnaujintas leidimas. Kaunas: Smaltijos leidykla.
• Leipus, R., & Norvaiša, R. (2003). Finansų rinkos teorijų pagrindai. Pinigų studijos 4.
• Markowitz, H.M. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91.
• Markowitz, H.M. (1956). The optimization of a quadratic function subject to linear constraints. Naval Research Logistics Quarterly, 3, 111-133.
• Markowitz, H.M. (1959). Portfolio Selection: Efficient Diversification of Investment. Cowles Foundation Monograph 16. New York: John Wiley & Sons.
• Markowitz, H.M. (1987). Mean - Variance Analysis in Portfolio Choice and Capital Markets. Oxford: Basil Blackwell.
• Markowitz, H. (2014). Mean-variance approximations to expected utility. European Journal of Opetational Research, 234(2), 346-355.
• Reilly, F.K., & Brown, K.C. (2003). Investment analysis and portfolio management. South-Western: Thomson Learning.
• Rutkauskas, A.V., & Kvietkauskienė, A. (2013a). Investment decisions in global financial markets: the experience of Lithuania. Entrepreneurial Business and Economics Review, 1(4), 21-35.
• Rutkauskas, A.V., Kvietkauskienė, A. (2013b). Investment in financial markets: avoidance of risk or looking for success?, in the conference proceedings Problems of modern economy: global, national and regional context (May 23-24, 2013, Grodno, Belarus). 1-6.
• Rutkauskas, A.V., Kvietkauskienė, A., & Vyšniauskas, P. (2013). Hunting for sustainable investment return in global financial markets, The 8th international scientific conference "Business and Management 2014" : selected papers. Vilnius: Technika. Retrieved on September 15, 2014, from <http://www.bm.vgtu.lt/index.php/bm/bm_2014/paper/view/315>.
• Rutkauskas, A.V., & Kvietkauskienė, A. (2012). Successful investment - market behavior and investing intelligence compatibility result, in the conference proceedings Contemporary issues in business, management and education'2012 (15 November, 2012, Vilnius, Lithuania). Retrieved on September 15, 2014, from <http://cbme.vgtu.lt/index.php/cbme/cbme_2012/schedConf/ presentations>.
• Rutkauskas, A. V., Stasytytė, V., & Borisova, J. (2009). Adequate portfolio as a conceptual model of investment profitability, risk and reliability adjustment to investors interests. Economics & Management, 14, 1170-1174.
• Rutkauskas, A.V., & Martinkutė, R. (2007). Investicijų portfelio anatomija ir valdymas. Vilnius: Technika.
• Rutkauskas, A.V. (2006). Adequate investment portfolio anatomy and decisions, applying Imitative technologies, Economics, 75, 52-76.
• Rutkauskas, A.V. (2005a). Portfelio sprendimai valiutų kursų ir kapitalo rinkose. Verslas: teorija ir praktika, 6(2), 107-116.
• Rutkauskas, A.V. (2005b). The double-trump decision management model in global exchange. Ekonomika: mokslo darbai, 72, 84-104.
• Rutkauskas, A.V., & Stankevičienė, J. (2003). Formation of an investment portfolio adequate for stochasticity of profit possibilities. Journal of Business Economics and Management, 4(1), 3-12.
• Rutkauskas, A.V. (2001). Investicijų portfelis, atsižvelgiant į pelno galimybių tikimybės skirstinius pilnumoje. Ekonomika ir vadyba. Kn. 7. Finansų valdymo aktualijos: tarptautinės konferencijos pranešimu medžiaga. Kaunas: Technologija.
• Rutkauskas, A.V. (2000). Formation of adequate investment portfolio for stochasticity of profit possibilities. Vilnius: Technika.
• Valentinavičius S. (2010). Investicijų valdymas: teoriniai ir praktiniai aspektai: monografija. Vilnius: VU Leidykla.
• Zavadskas, E.K., & Turskis, Z. (2011). Multiple criteria decision making (MCDM) methods in economics: an overview. Technological and Economic Development of Economy, 17(2), 397-427. doi: 10.3846/20294913.2011.593291

Identyfikatory

DOI

10.15678/EBER.2014.020406