Three-dimensional measurement of market behaviour

Abstract

During the long time period measurement of the market behaviour used to be an increasingly up-to-date issue in finance. Numerous technical and fundamental analysis methods, theories and hypotheses have been designed for market research. However, getting to know the market would lead to its inefficiency. Thus the main feature of the market should be incognizability with an exception of the so-called efficiency shoals, where it is possible to perform more efficiently than the market average. The goal of the research was to analyse investment process throughout portfolio profit possibilities, riskiness of these possibilities, and reliability of particular profitability-riskiness combination. Furthermore, three-parametrical utility function in “profitability-risk-reliability” plane was applied to finding an optimal portfolio for an investor and measuring the investor’s utility.