Mathematical Model for Optimizing the Composition of an Investment Portfolio for the Mexican Stock Market

2009 ◽  
Author(s):  
José Crispín Zavala-Diaz ◽  
Joaquín Perez-Ortega ◽  
Rodolfo Pazos Rangel ◽  
Dalia Vianey García V. ◽  
Laura Cruz-Reyes
Keyword(s):  
Mathematical Model ◽  
Stock Market ◽  
Investment Portfolio

DYNAMIC OPTIMIZATION OF THE INVESTMENT PORTFOLIO MANAGEMENT TRAJECTORY

2021 ◽  
Vol 17 (3) ◽  
pp. 73-77
Author(s):  
NATALIA GRINEVA ◽  
◽  
Keyword(s):  
Mathematical Model ◽  
Dynamic Optimization ◽  
Portfolio Management ◽  
Management Strategy ◽  
Optimization Problem ◽  
Optimal Portfolio ◽  
Processes Of Change ◽  
Investment Portfolio ◽  
Strategy Formation ◽  
Risk Appetite

The task of control from the position of mathematical tools application is discussed, economic statement and mathematical model of optimization problem are formulated, the sequential realization of the research aim - the mechanism of optimal portfolio management strategy formation - is presented. The results of dynamic optimization of decisions made at each step form the optimum law of the portfolio management. Scientific novelty of the study consists in the fact that the constructed portfolio takes into account the real incompleteness of the initial data on the processes of change in the yields of securities; there is no need to build a set of effective portfolios and indifference curves that characterize the risk appetite of investors; private characteristics are not used as the main criteria that determine the structure of the optimal portfolio of securities.

scholarly journals MATHEMATICAL MODEL OF A STOCK MARKET

2000 ◽  
Vol 3 (3) ◽  
pp. 461
Author(s):  
Gonchar
Keyword(s):  
Mathematical Model ◽  
Stock Market

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.

Share Repurchase As the Instrument of the Management of the Capital of the Company

2020 ◽  
Vol 9 (2) ◽  
pp. 44-50
Author(s):  
Vladimir Galanov ◽  
A. Galanova
Keyword(s):  
Stock Market ◽  
Secondary Market ◽  
Share Repurchases ◽  
Top Management ◽  
Joint Stock Company ◽  
Share Repurchase ◽  
Investment Portfolio ◽  
Stock Company ◽  
Proper Management ◽  
External Shareholders

The joint-stock company is a participant in the primary stock market, primarily as an issuer of shares and bonds. However, in the event of the repurchase of its shares, the joint-stock company may also act as a specific participant in the secondary market. When buying its own shares, the joint-stock company is turning into a specific type of investor and speculator in the stock market, and the shares it purchases form a redemption issue portfolio that requires proper management, as well as an investment portfolio. Share repurchases may have economic, “technical” and even political and social reasons. Repurchased shares may relate to a group of treasury shares or a group of quasi-treasury shares. The existence of quasi-treasury shares means that there is an opportunity in which it is not external shareholders who control the joint-stock company but the company's top management, which is no longer under the control of the shareholder group.

scholarly journals Mean-Variance Portfolio Optimization on Islamic Stocks by Using Non Constant Mean and Volatility Models and Genetic Algorithm

2018 ◽  
Vol 7 (3.20) ◽  
pp. 366
Author(s):  
Endang Soeryana Hasbullah ◽  
Nurfadhlina Bt Abdul Halim ◽  
Sukono . ◽  
Adam Sukma Putra ◽  
Abdul Talib Bon
Keyword(s):  
Genetic Algorithm ◽  
Stock Market ◽  
Moving Average ◽  
Lagrangian Multiplier ◽  
Potential Candidate ◽  
Investment Portfolio ◽  
Expected Return ◽  
Volatility Models ◽  
Mean Variance Portfolio ◽  
Mean Variance

The risk in stock market has taken an sinificant issue in investment of stock market, including Investment in some Islamic stocks. In order to minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several Islamic stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to Islamic stocks by using mean and volatility is not constant approaches. Non constant mean analyzed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analyzed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique followed by the Genetic Algorithm (GA). The expected result is to get the proportion of investment in each Islamic stock analyzed. Based on the result, we got that GA give a proportion of portfolio optimum selection with the best expected return. However, The GA has more potential candidate of solution that give the investor an alternative of their optimum portfolio selection. in this paper, we only present the best solution which has the highest fitness to the model. 

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