Stochastic programming model for the selection of an optimal portfolio

Vakrinienė, Sigutė; Pabedinskaitė, Arnoldina Ona

Use this url to cite publication: https://hdl.handle.net/20.500.14911/144604

Stochastic programming model for the selection of an optimal portfolio

Details

Publication Type (CRIS)

Straipsnis recenzuojamoje Lietuvos tarptautinės konferencijos medžiagoje / Article in peer-reviewed Lithuanian international conference proceedings (P1e)

Publication Type (eLABa)

Straipsnis recenzuotame konferencijos darbų leidinyje / Article published in peer-reviewed conference proceedings (P1d)

Author(s)

Author	Affiliation
Vakrinienė, Sigutė	Matematinės statistikos katedra / Department of Mathematical Statistics (1022)
Pabedinskaitė, Arnoldina Ona	Verslo technologijų ir verslininkystės katedra / Department of Business Technologies and Entrepreneurship (1150)

Title

Stochastic programming model for the selection of an optimal portfolio

[en]

Sigute Vakriniene, Arnoldina Pabedinskaite

Title in other language

Stochastinio programavimo modelis optimalaus portfelio sudarymui

[lt]

Is part of

Modern building materials, structures and techniques : proceedings of the 9th international conference, held on May 16-18, 2007 Vilnius, Lithuania [CD] / IABSE Lithuanian Group, Lithuanian Academy of Sciences, VGTU Civil Engineering Faculty

Published In

Year	Start Page	End Page
2007	1	6

Publisher

Vilnius : Technika, 2007

Extent

p. 1-6

URI

URI
https://hdl.handle.net/20.500.14911/144604

Cited references

Science / Art Area

Gamtos mokslai / Natural Sciences (N)

Field of Science / Art

Informatika / Informatics (N009)

Keywords (en)

Abstract (en)

The present paper proposes to make 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.