Optimalaus investavimo problemos matematinis modeliavimas
| Year | Start Page | End Page |
|---|---|---|
2007 | 29 | 37 |
Nagrinėjami Stochastinis ir Maksimino modeliai firmų akcijų investiciniams portfeliams sudaryti. Iš statistinių duomenų stebimo laikotarpio yra konstruojami įvairūs portfeliai. Po to yra stebimos šių portfelių kito laikotarpio realizacijos. Pastebėta, kad abiem modeliais sudarytų portfelių realizacijų vidutinės grąžos 80% pasikliovimo lygmenyje yra didžiausios mažėjant ir didėjant akcijų kainoms rinkoje.
The study deals with optimal portfolio creation. Stochastic and MaxMin models are observed and tested on 117 shares in 4 half-year periods starting from 2005.01.03 till 2007.01.26 to solve the diversification problem with the fixed confidence levels. First, the construction of portfolio of expected result is made in the selected half-year period. Then the testing is made with the out of sample next half-year period data. As a result, it is noticed, that both models demonstrate more or less the same results. Those, who do not like risky share portfolios, according to the out of sample data portfolio test results, will earn more, if the stock exchange rises. And those, who prefer more risky portfolios to less, will loose less, if the stock exchange falls. According to the out of sample data tested portfolio observations, both models demonstrate, that the optimal point, where the loss decreases and the inflow increases is at 80 % of confidence level.