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Portfolio Optimization Based on a Computer Simulation of Securities Rates of Return from the Bivariate Normal Distribution (CROSBI ID 541432)

Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija

Dukić, Darko ; Dukić, Gordana ; Sesar, Mate Portfolio Optimization Based on a Computer Simulation of Securities Rates of Return from the Bivariate Normal Distribution // Proceedings of the ITI 2008 / Luzar-Stiffler, Vesna ; Hljuz Dubric, Vesna ; Bekic, Zoran (ur.). Zagreb: Sveučilišni računski centar Sveučilišta u Zagrebu (Srce), 2008. str. 197-202

Podaci o odgovornosti

Dukić, Darko ; Dukić, Gordana ; Sesar, Mate

engleski

Portfolio Optimization Based on a Computer Simulation of Securities Rates of Return from the Bivariate Normal Distribution

The basic aim of all investors investing in securities is to achieve maximum yield while keeping their loss risks at a minimum. A number of techniques and methods have been devised as a decision support tool in this domain. In this paper, the initial model of portfolio optimization has been enhanced by using computer simulation. It was used in the model to generate random rates of return from the bivariate normal distribution. It was assumed that its parameters are established on the basis of empirical data and estimates of the expected rates of return for securities. In this model, the efficient solution set, from which an optimum portfolio is derived, is obtained by finding extrema of the function by means of the Lagrange method.

portfolio optimization ; rate of return ; computer simulation ; bivariate normal distribution ; random numbers generating

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Podaci o prilogu

197-202.

2008.

objavljeno

Podaci o matičnoj publikaciji

Proceedings of the ITI 2008

Luzar-Stiffler, Vesna ; Hljuz Dubric, Vesna ; Bekic, Zoran

Zagreb: Sveučilišni računski centar Sveučilišta u Zagrebu (Srce)

978-953-7138-13-4

1334-2762

Podaci o skupu

30th International Conference “ Information Technology Interfaces”

predavanje

23.06.2008-26.06.2008

Dubrovnik, Hrvatska; Cavtat, Hrvatska

Povezanost rada

Ekonomija, Informacijske i komunikacijske znanosti

Indeksiranost