Markowitz Random field as a stand for investment analysis and decision making

Rutkauskas, Aleksandras Vytautas; Stasytytė, Viktorija

Use this URL to cite this publication: https://hdl.handle.net/20.500.14911/133580

Markowitz Random field as a stand for investment analysis and decision making

Details

Publication Type (CRIS)

Straipsnis konferencijos medžiagoje Web of Science duomenų bazėje / Article in conference proceedings in Web of Science database (P1a1)

Publication Type (eLABa)

Straipsnis konferencijos darbų leidinyje Web of Science DB / Article in conference proceedings Web of Science DB (P1a)

Author(s)

Author	Affiliation
Rutkauskas, Aleksandras Vytautas	Finansų inžinerijos katedra / Department of Financial Engineering (1148)
Stasytytė, Viktorija	Finansų inžinerijos katedra / Department of Financial Engineering (1148)

Title

Markowitz Random field as a stand for investment analysis and decision making

[en]

Aleksandras Vytautas Rutkauskas, Viktorija Stasytytė

Is part of

The 15th World Multi-Conference on Systemics, Cybernetics and Informatics: WMSCI 2011. July 19th - July 22nd, 2011 Orlando, Florida, USA : proceedings. Vol. 1

Published In

Year	Start Page	End Page
2011	131	136

Publisher

Orlando : International Institute of Informatics and Systemics, 2011

Referenced in Database(s)(DBs)

Conference Proceedings Citation Index - Science (Web of Science)

Extent

p. 131-136

URI

URI
https://hdl.handle.net/20.500.14911/133580

Cited references

Science / Art Area

Socialiniai mokslai / Social sciences (S)

Field of Science / Art

Ekonomika / Economics (S004)

Keywords (en)

Abstract (en)

The paper presents analytical discussion about the innovative methodology of dealing with random nature of investment assets. The core element of the methodology is the concept of Markowitz Random Field (MRF), on the basis of which the investment portfolio analysis is moved to three-dimensional space. Applying the proposed procedure, an investor or investment analyst is able to answer the question: how the increases of return and riskness interact on the determined level of investment possibilities' reliability? The graphical procedures of decisions search are fully presented in the paper.