Searching for just a few words should be enough to get started. If you need to make more complex queries, use the tips below to guide you.
Article type: Research Article
Authors: Mockus, Jonas; | Katin, Igor | Katina, Joana
Affiliations: Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, LT-08663 Vilnius, Lithuania, e-mail: jonas.mockus@mii.vu.lt, igor@getweb.lt, joana.katina@mii.vu.lt
Note: [] Corresponding author.
Abstract: The optimal financial investment (Portfolio) problem was investigated by leading financial organizations and scientists. Nobel prizes were awarded for the Modern Portfolio Theory (MPT) and further developments. The aim of these works was to define the optimal diversification of the assets depending on the acceptable risk level. In contrast, the objective of this work is to provide a flexible, easily adaptable model of virtual financial markets designed for the needs of individual users in the context of utility theory. The aim is to optimize investment strategies. This aim is the new element of the proposed model and simulation system since optimization is performed in the space of investment strategies; both short term and longer term. The new and unexpected result of experiments with the historical financial time series using the PORTFOLIO model is the observation that the minimal prediction errors do not provide the maximal profits.
Keywords: optimization, portfolio problem, utility theory, Nash equilibrium, stock exchange
Journal: Informatica, vol. 25, no. 2, pp. 241-264, 2014
IOS Press, Inc.
6751 Tepper Drive
Clifton, VA 20124
USA
Tel: +1 703 830 6300
Fax: +1 703 830 2300
sales@iospress.com
For editorial issues, like the status of your submitted paper or proposals, write to editorial@iospress.nl
IOS Press
Nieuwe Hemweg 6B
1013 BG Amsterdam
The Netherlands
Tel: +31 20 688 3355
Fax: +31 20 687 0091
info@iospress.nl
For editorial issues, permissions, book requests, submissions and proceedings, contact the Amsterdam office info@iospress.nl
Inspirees International (China Office)
Ciyunsi Beili 207(CapitaLand), Bld 1, 7-901
100025, Beijing
China
Free service line: 400 661 8717
Fax: +86 10 8446 7947
china@iospress.cn
For editorial issues, like the status of your submitted paper or proposals, write to editorial@iospress.nl
如果您在出版方面需要帮助或有任何建, 件至: editorial@iospress.nl