Open AccessLinear and non-linear optimization models for the selection of investment portfolio
Author(s) -
Sigutė Vakrinienė,
Gintautas Misevičius
Publication year - 2021
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2007.24233
Subject(s) - linear programming , portfolio , selection (genetic algorithm) , portfolio optimization , task (project management) , investment (military) , mathematical optimization , econometrics , investment portfolio , pareto principle , computer science , investment strategy , economics , mathematics , financial economics , artificial intelligence , microeconomics , profit (economics) , management , politics , political science , law
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.