Tymiński, Michał
Dwukryterialna koncepcja budowy portfela inwestycyjnego metodą programowania dynamicznego
Bicriterion concept of building an investment portfolio by dynamic programming methods
Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej, 2010, vol., nr 82, s. 75-89
Abstract
This paper presents a new concept of portfolio optimization shares in the capital market. The main purpose this concept is bicriterion function – which maximized financial revenue and minimized the risk of the investment portfolio. The presented optimization algorithm uses elements of reliability theory and the method of dynamic programming. From an investor point of view it is important to assess the possibility of achieving the desired level of income maximum and minimizing risk. The proposed concept of the investment portfolio to such an assessment