Open AccessELEMENTS OF CONTROL THEORY APPLIED TO AN INVESTMENT PORTFOLIO IN THE CAPITAL MARKET. THE OPTIMAL TIME HORIZON FOR SELLING A PORTFOLIO
Author(s) -
Jerzy Tymiński
Publication year - 2015
Publication title -
acta universitatis lodziensis. folia oeconomica
Language(s) - English
Resource type - Journals
eISSN - 2353-7663
pISSN - 0208-6018
DOI - 10.18778/0208-6021.310.13
Subject(s) - portfolio , replicating portfolio , portfolio optimization , foreign portfolio investment , application portfolio management , portfolio insurance , capital market line , post modern portfolio theory , modern portfolio theory , financial economics , economics , business , project portfolio management , finance , microeconomics , stock market , return on investment , open ended investment company , market depth , project management , paleontology , management , horse , production (economics) , biology
The article presents a concept of capital management for assembling investment portfolios. Two optimization variants of a portfolio to be purchased are discussed. Portfolio I is structural, using the „traditional model”. To assemble Portfolio II, elements of reliability theory and the dynamic programming method were used. The article also analyses the sale of a portfolio with respect to the demand for financial instruments in the capital market. The presented concept dealing with rational investment decisions during transactions at the Warsaw Stock Exchange can also be used by managers to create an effective portfolio of financial instruments.