Imitative technologies as appropriate computational instrument of adequate portfolio application

Abstract

The main objective of this paper is to present the main problems being solved, which are also quantitative decision search problems, with the help of the investment decision management system in exchange and capital market, developed in Finance Engineering Department of Faculty of Business Management, Vilnius Gediminas Technical University. The problems under discussion are formalized as information-mathematical models. Computer-imitational methods are also analysed as the main solving means for the mathematical models viewed as stochastical programming tasks in order to reflect the problems characteristics. Attention is paid to the to revealing of the analytical possibilities of the decision management system and to decision methods identification, analyzing such non-traditional financial engineering problems as three-dimensional utility function maximization in the adequate for investment decisions reliability assessment portfolio possible set of values, searching for investment decisions profitability, reliability and riskiness commensuration concept and mathematical decisions methods.