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Portfolio Optimization Based on a Computer Simulation of Securities Rates of Return from the Bivariate Normal Distribution


Dukić, Darko; Dukić, Gordana; Sesar, Mate
Portfolio Optimization Based on a Computer Simulation of Securities Rates of Return from the Bivariate Normal Distribution // Proceedings of the ITI 2008 / Luzar-Stiffler, Vesna ; Hljuz Dubric, Vesna ; Bekic, Zoran (ur.).
Zagreb: SRCE University Computing Centre, University of Zagreb, 2008. str. 197-202 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)


Naslov
Portfolio Optimization Based on a Computer Simulation of Securities Rates of Return from the Bivariate Normal Distribution

Autori
Dukić, Darko ; Dukić, Gordana ; Sesar, Mate

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the ITI 2008 / Luzar-Stiffler, Vesna ; Hljuz Dubric, Vesna ; Bekic, Zoran - Zagreb : SRCE University Computing Centre, University of Zagreb, 2008, 197-202

ISBN
978-953-7138-13-4

Skup
30th International Conference “ Information Technology Interfaces”

Mjesto i datum
Cavtat/Dubrovnik, 23-26.06.2008.

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Portfolio optimization ; rate of return ; computer simulation ; bivariate normal distribution ; random numbers generating

Sažetak
The basic aim of all investors investing in securities is to achieve maximum yield while keeping their loss risks at a minimum. A number of techniques and methods have been devised as a decision support tool in this domain. In this paper, the initial model of portfolio optimization has been enhanced by using computer simulation. It was used in the model to generate random rates of return from the bivariate normal distribution. It was assumed that its parameters are established on the basis of empirical data and estimates of the expected rates of return for securities. In this model, the efficient solution set, from which an optimum portfolio is derived, is obtained by finding extrema of the function by means of the Lagrange method.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija, Informacijske i komunikacijske znanosti



POVEZANOST RADA


Ustanove
Filozofski fakultet, Osijek,
Sveučilište u Osijeku - Odjel za fiziku

Časopis indeksira:


  • Web of Science Core Collection (WoSCC)
    • Conference Proceedings Citation Index - Science (CPCI-S)
  • Scopus