Open AccessBimatrix game model for the selection of investment portfolio
Author(s) -
Sigutė Vakarinienė,
Gintautas Misevičius
Publication year - 2009
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2009.58
Subject(s) - portfolio , selection (genetic algorithm) , economics , investment (military) , econometrics , task (project management) , nash equilibrium , stock (firearms) , project portfolio management , investment portfolio , linear programming , computer science , mathematical economics , financial economics , mathematical optimization , mathematics , artificial intelligence , engineering , mechanical engineering , management , politics , political science , law , project management
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.