优化投资组合管理

IF 0.8 Q4 MANAGEMENT

Serbian Journal of Management Pub Date : 2019-05-18 DOI:10.5937/sjm14-16806

V. Oliinyk, O. Kozmenko

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引用次数: 15

摘要

考虑由金融机构创建投资组合的任务。创建投资组合的资金来自两个来源：企业的股权资金和借入资金。对创建的投资组合进行优化。在风险度量受到限制的情况下，获得了效率最大的投资组合，风险度量以VaR指标的形式规定。利用优化投资组合数据，正在建立一个投资组合资产管理模型。利用庞特里亚金最大值原理，确定了参与者的最优策略。找到了以收益份额的形式管理投资组合的最佳函数。给出了金融机构和债权人对金融投资组合投资进行优化管理的数值结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimization of investment portfolio management

The task of creating an investment portfolio by a financial institution is considered. Funds for creating a portfolio are taken from two sources: enterprise's equity funds and borrowed funds. Optimization of the created portfolio is performed. A portfolio of maximum efficiency was obtained with restriction on the measure of risk, which is specified in the form of a VaR indicator. Using optimization portfolio data, a model of portfolio asset management is being built. Using the Pontryagin maximum principle, optimal strategies of its participants are determined. The optimal function of managing the investment portfolio in the form of a share of the income received is found. Numerical results of optimal management of investments in a financial portfolio from the financial institution as well as from the creditor are presented.

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来源期刊

Serbian Journal of Management MANAGEMENT-

CiteScore

1.40

自引率

14.30%

发文量

审稿时长

12 weeks

期刊介绍： Technical Faculty in Bor, University of Belgrade has started publishing the journal called Serbian Journal of Management during the year 2006. This journal is an international medium for the publication of work on the theory and practice of management science.