Warianty tytułu
Zagadnienie optymalnego portfela a najlepszy portfel kompromisowy
Języki publikacji
Abstrakty
In the traditional and widely accepted mean-variance approach to portfolio management it is assumed that investors are attempting to maximize the expected utility of the returns from an investment portfolio. This approach holds exactly when investors are expected utility maximizers, prefer more to less, are risk averse, and either security returns are normally distributed or utility functions are quadratic.(fragment of text)
W opracowaniu przedstawiono rodzinę metod zwanych "bezpieczeństwo przede wszystkim" (safety first methods). Reprezentują one podejścia alternatywne w stosunku do metod wykorzystujących pojęcie oczekiwanej użyteczności. Przeanalizowano reguły: Roy'a, Kataoki i Telsera, metodę portfela referencyjnego oraz programowanie kompromisowe. (abstrakt oryginalny)
Rocznik
Numer
Strony
127--137
Opis fizyczny
Twórcy
autor
- University of Economics in Bratislava, Slovakia
Bibliografia
- Markowitz H.M. (1952): Portfolio selection. "Finance" No 7.
- Markowitz H.M. (1970): Portfolio Selection: Efficient Diversification of Investments. John Wiley & Sons, New York.
- Markowitz H.M. (1987): Mean-variance Analysis in portfolio Choice and capital Markets. Basil Blackwell, New York.
- Freund R.J. (1956): The introduction of risk into programming model. "Econometrica" No 24.
- Pratt J.W. (1964): Risk aversion in the small and in the large. "Econometrica" No 32.
- Mlynarovic V. (1995): Some Multiple Criteria Approaches in Portfolio Selection Models. Politická Ekonomie, Rocník XLIII, No 5.
- Arrow K.J. (1991): Intriligator, M.D.,eds.: Handbook of Mathamatical Economics. North Holland.
- Bawa V. (1975): Safety - First, Stocastic Dominance, and optimal Portfolio Choice. "Journal of Financial Economics" No 2.
- Roy A.D. (1952): Safety-First and the Holding of assets. "Econometrics" 20.
- Buchanan J.T., Daellenbach H.G. (1987): A comparative evaluation of interactive solution method for multiple objective decision models. "Eur J Opl Res" No 24.
- Buchanan J.T. (1977): A naive approach for solving MCDM problems: the GUESS method. "J Opl Res" No 48.
- Steuer R.E., Cho E.U. (1982): An interactive weighted Tchebycheff procedure for multiple objective programing. "Math Prog" No 26.
- Zeleny M. (1982): Multiple Criteria Decision Making. McGraw Hill, New York.
- Ballestero E" Romero C. (1991): A theorem connecting utility function optimization and compromise programming. "Opns. Res. Letters" No 10.
- Ballestero E" Romero C. (1997): Portfolio Selection: A Compromise Pro gramming Solution. "J Opl Res" No 47.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
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