| dc.contributor.author | Vakrinienė, Sigutė | |
| dc.contributor.author | Misevičius, Gintautas | |
| dc.date.accessioned | 2023-09-18T18:48:47Z | |
| dc.date.available | 2023-09-18T18:48:47Z | |
| dc.date.issued | 2007 | |
| dc.identifier.issn | 0132-2818 | |
| dc.identifier.other | (BIS)VUB02-000029511 | |
| dc.identifier.uri | https://etalpykla.vilniustech.lt/handle/123456789/132080 | |
| dc.description.abstract | Darbe siūlomas maksimino principas investiciniams portfeliams parinkti. Portfelio komponentės surandamos sprendžiant tiesinio programavimo uždavinį viename modelyje ir netiesinio programavimo uždavinį kitame, įvedus rizikos vertinimo koeficientus. Eksperimentinėje dalyje šių modelių pagalba gauti neefektyvūs portfeliai testuojami remiantis Pabaltijo akcijų biržos statistiniais duomenimis. Įvairioms rizikos koeficientų reikšmėms pasiūlytųjų portfelių realizacijos lyginamos su efektyviųjų (Pareto optimalių) portfelių realizacijomis. | lit |
| dc.description.abstract | This research suggests a maxmin model for the selection of investment portfolios. The risk evaluation coefficients are introduced. The components of portfolio are found by solving linear programming task in onemodel and non-linearprogramming task in the other. In the experimental part of the research ineffective portfolios exerted from these models are tested referring to the statistical data of the Baltic stock market. Realizations of the suggested portfolios with different risk coefficient values are compared to realizations of effective (Pareto optimal) portfolios. | eng |
| dc.format | PDF | |
| dc.format.extent | p. 383-388 | |
| dc.format.medium | tekstas / txt | |
| dc.language.iso | lit | |
| dc.relation.isreferencedby | CIS: Current Index to Statistics | |
| dc.relation.isreferencedby | MathSciNet | |
| dc.relation.isreferencedby | Zentralblatt MATH (zbMATH) | |
| dc.rights | Laisvai prieinamas internete | |
| dc.source.uri | https://talpykla.elaba.lt/elaba-fedora/objects/elaba:3955146/datastreams/MAIN/content | |
| dc.title | Tiesinio ir netiesinio optimizavimo modeliai investiciniam portfeliui pasirinkti | |
| dc.title.alternative | Linear and non-linear optimizationmodels for the selection of investment portfolio | |
| dc.type | Straipsnis kitoje DB / Article in other DB | |
| dcterms.license | Creative Commons – Attribution – 4.0 International | |
| dcterms.references | 4 | |
| dc.type.pubtype | S3 - Straipsnis kitoje DB / Article in other DB | |
| dc.contributor.institution | Vilniaus Gedimino technikos universitetas | |
| dc.contributor.institution | Vilniaus universitetas | |
| dc.contributor.faculty | Fundamentinių mokslų fakultetas / Faculty of Fundamental Sciences | |
| dc.subject.researchfield | N 001 - Matematika / Mathematics | |
| dc.subject.lt | investicinis portfelis | |
| dc.subject.lt | tiesinis programavimas | |
| dc.subject.lt | netiesinis programavimas | |
| dc.subject.lt | matricinis lošimas | |
| dc.subject.en | investment portfolio | |
| dc.subject.en | linear programming | |
| dc.subject.en | non-linear programming | |
| dc.subject.en | matrix game | |
| dcterms.sourcetitle | Lietuvos matematikos rinkinys | |
| dc.description.issue | spec. nr | |
| dc.description.volume | t. 47 | |
| dc.publisher.city | Vilnius | |
| dc.identifier.doi | VGT02-000015808 | |
| dc.identifier.doi | 10.15388/LMR.2007.24233 | |
| dc.identifier.elaba | 3955146 | |
