scholarly journals Selection of Orthogonal Investment Portfolio Using Evolino RNN Trading Model

2014 ◽  
Vol 110 ◽  
pp. 1158-1165 ◽  
Author(s):  
Nijolė Maknickienė
Keyword(s):  
Investment Portfolio ◽  
Trading Model ◽  
Selection Of

scholarly journals Mathematical modeling in economics for selection of optimum investment solution

2021 ◽  
Vol 273 ◽  
pp. 08003
Author(s):  
Arthur Alukhanyan ◽  
Olga Panfilova
Keyword(s):  
Mathematical Modeling ◽  
Mathematical Model ◽  
Linear Programming ◽  
Mathematical Models ◽  
Programming Problem ◽  
Linear Programming Problem ◽  
Target Function ◽  
Investment Portfolio ◽  
Monetary Relations ◽  
Selection Of

This work is devoted to development of economic and mathematical models for selection of the optimum investment solution. Moreover, it states the basis for development of model examples and correction of the model considering the results obtained in the examples. In the work the problem is set for selection of the investment sources and objects, which is limited to the linear programming problem. The controlled variable and basic limitations simulating real credit and monetary relations are distinguished in the provided model. The discounted profit obtained from implementation of the optimum investment portfolio is considered as a target function. The economic and mathematical model presented in the article allows finding the optimum investment solution within the limits of the credit and monetary relations taking place both at the micro- and macroeconomic level.

scholarly journals Linear and non-linear optimization models for the selection of investment portfolio

2021 ◽  
Vol 47 ◽  
Author(s):  
Sigutė Vakrinienė ◽  
Gintautas Misevičius
Keyword(s):  
Linear Programming ◽  
Risk Evaluation ◽  
Statistical Data ◽  
Linear Optimization ◽  
Investment Portfolio ◽  
Non Linear Programming ◽  
Non Linear ◽  
The Baltic ◽  
Investment Portfolios ◽  
Selection Of

This research suggests a maxmin model for the selection of investment portfolios. The risk evaluation coefficients are introduced. The components of portfolio are found by solving linear programming task in onemodel and non-linear programming task in the other.  In the experimental part of the research ineffective portfolios exerted from these models are tested referring to the statistical data of the Baltic stock market. Realizations of the suggested portfolios with different risk coefficient values are compared to realizations of effective (Pareto optimal) portfolios.

scholarly journals Bimatrix game model for the selection of investment portfolio

2009 ◽  
Vol 50 ◽  
Author(s):  
Sigutė Vakarinienė ◽  
Gintautas Misevičius
Keyword(s):  
Linear Programming ◽  
Nash Equilibria ◽  
Statistical Data ◽  
Game Model ◽  
Investment Portfolio ◽  
Bimatrix Game ◽  
Experimental Part ◽  
Investment Portfolios ◽  
Market Indexes ◽  
Selection Of

This research suggests a Nash equilibria model for the selection of investment portfolios. The components of portfolio are found by solving linear programming task with binary variables. In the experimental part of the research ineffective portfolios exerted from this model are tested referring to the statistical data of the stock market indexes of several countries. Realizations of the suggested portfolios are compared to realizations of effective portfolios.

scholarly journals FORMATION OF AN INVESTMENT PORTFOLIO ADEQUATE FOR STOCHASTICITY OF PROFIT POSSIBILITIES

2003 ◽  
Vol 4 (1) ◽  
pp. 3-12 ◽  
Author(s):  
Aleksandras Vytautas Rutkauskas ◽  
Jelena Stankevičienė
Keyword(s):  
Numerical Solution ◽  
Optimal Selection ◽  
Investment Portfolio ◽  
Stochastic Nature ◽  
Selection Of

The paper deals with the conception of integrated bank assets and liabilities portfolio adequate to stochastic nature of assets profitability and liabilities expenditures. Two interconnected situations are considered. Firstly, the principles of construction of an investment portfolio, adequate to stochastic nature of an investment yield arc considered. Further, the idea of consideration and optimal selection of integrated assets and liabilities portfolio is considered. These problems are solved on the basis of the authors’ idea of investment portfolio adequate for stochastic nature of investment portfolio and the numerical solution of such problems, which is briefly presented.

scholarly journals The Application of genetic algorithms for the selection of WSE companies in Warsaw for the investment portfolio.

2020 ◽  
Vol 14 (1) ◽  
Author(s):  
Beata Basiura ◽  
Joanna Motyczyńska
Keyword(s):  
Genetic Algorithms ◽  
Time Window ◽  
Stock Exchange ◽  
Selection Function ◽  
Investment Portfolio ◽  
Short Processing Time ◽  
Simulation Based ◽  
Warsaw Stock Exchange ◽  
Investment Portfolios ◽  
Selection Of

Portfolio analysis is a tool particularly intended for investors. Risk assessment and risk specification make the investor able to properly diversify and offset the portfolio. Broadly speaking, there are multiple tools destined for building up an efficient set of portfolios.One of them is Markowitz’s model theory postulating building up a portfolio determined on the basis of equilibrium between expected profit level as well as accepted level of risk assessment.In the context of this paper, the objective is to shed some light on creating investment portfolios based on either Markowitz's portfolio theory or evolutionary algorithm. The simulation based methods for building up a portfolio of approximately 40-50 companies listed out in the primary marketof the Warsaw Stock Exchange using the selection function proposed in the BA thesis were presented.Portfolio profit values have been evaluated in a dynamically shifted time window. The conducted analysis showed shifts in the economy at certain periods of time. The implemented genetic algorithms smoothly handled the optimization with a relatively short processing time of the task result.

scholarly journals MODERN METHODS OF THE BANK`S INVESTMENT DEVELOPMENT BASED ON THE PAIR TRADING MODELS

2021 ◽  
Author(s):  
Inna Viadrova ◽  
◽  
Irina Bitner ◽  
Keyword(s):  
Quality Analysis ◽  
Mathematical Methods ◽  
Pairs Trading ◽  
Integration Model ◽  
Treasury Bonds ◽  
Banking Activity ◽  
Modern Methods ◽  
Trading Model ◽  
Effective Decision Making ◽  
Selection Of

The article deals with the problem of analysis of banking activity and modern methods of investment development of the bank based on pairs trading models. The essence of the pair trading method as one of the most popular and qualitative methods of investment paper quality analysis is disclosed. The basis of the pairing trading method is defined as the beta-neutral portfolio strategy, which consists of creating a portfolio with a beta coefficient equal to zero, and the main advantage of which is the complete independence of the final paper yield from the market yield, it is only dependent on the future ratio of the value of one security to another. For the successful introduction of this method in banking activity, a clear algorithm for the construction of a paired trading model based on economic-mathematical methods and models is proposed. The proposed algorithm contains three stages in which the following steps are to be taken: analysis and selection of securities; development of a pairing trading model; development and regulation of the selected strategy. The implementation of the proposed algorithm begins with the selection of statistical data on the prices of securities, provides for the verification of data on stationarity, as well as the identification of a system for combining series, and the analysis of coefficients of the matching between prices of securities. As a result of the steps taken, pairs of securities are selected that are more closely related and a full economic analysis of the pairs is made, and the parameters of co-integration equations to pairs of paper are selected, evaluated and analyzed then the errors of the co-integration model are checked for stationary. In the work models of pairs trading are constructed for the realization of an aggressive strategy of trade spreads. In order to build an effective strategy for pairing trading, data on prices of securities, which are the most attractive to Ukrainian banks, namely, US Treasury bonds, have been examined. The hypothesis being tested in the paper is that it is necessary to identify a pair of securities with a sufficiently strong dependency where one should have a rapid growth or decline relative to the other, after which the sale of the revalued security and the purchase of the undervalued security is mandatory. The study found that for each pair of Treasury bonds, the ratio was satisfactory. This indicates that the resultant securities pairs are suitable as an investment that, with a well-designed strategy, will allow the bank to obtain optimum returns. The final step of the algorithm is the analysis of the results obtained, which includes a comprehensive analysis of the conducted research and effective decision-making. The application of the proposed algorithm will allow banks to make informed decisions on the choice and regulation of the strategy in exchange market changes in order to obtain a low level of risk and a high level of profit.

Sign in / Sign up

Export Citation Format

Share Document