The main goal of the paper is to analyse methodical and practical aspects of country (region) competitiveness sustainable development strategy and its implementation means. Such an innovative problem has raised a lot of original tasks and a need for developing corresponding solution methods. Today definitions of development and sustainability often go together analysing global, regional and local processes. Indeed, in this case the definition of competitiveness, as well as the definition of development sustainability require adequate interpretation and quantitative assessment. In the paper, country (region) competitiveness measure is assumed as three‐dimensional indicator, which depends on the fields of activity, dominating in the country, international economic relations and legal, financial, ecological, natural resources and geographical location environment competitiveness. An assumption is made that it is possible to evaluate quantitatively general competitiveness subject to three mentioned components competitiveness, as well as the competitiveness of every component, subject to the competitiveness of its components, based on generally accepted methods or with the help of expert means. Another assumption is made, that there exist quantitative dependencies among components competitiveness increases and amount of costs required to obtain them. As the instrument of the funds accumulated and developed for integrated country competitiveness indicator increase, evaluation and optimal allocation, the adequate for the decision results reliability assessment portfolio theory is selected, which allows assessing reliability of development possibilities under different levels of risk. Success in risk management is supposed to be factor of the highest importance to tackle sustainability at country's competitiveness development. Final structurisation of expert decision‐making support system principles is discussed when applying the system to competitiveness and risk management. Santrauka Pagrindinis straipsnio tikslas – panagrinėti metodologinius ir praktinius šalies (regiono) konkurencingumo tvariosios plėtros strategijos aspektus ir jos įgyvendinimo priemones. Ši inovatyvi problema iškėlė daug originalių praktinio realizavimo uždavinių, kai kurie iš jų tinka sprendimo metodams sudaryti. Šiandien plėtros ir tvarumo sąvokos dažnai eina kartu analizuojant tiek globalinius, tiek regioninius, tiek vietinius procesus. Iš tikrųjų šiuo atveju konkurencingumo sąvoka, kaip ir plėtros tvarumo sąvoka, reikalauja adekvačios interpretacijos ir kiekybinio įvertinimo. Straipsnyje šalies (regiono) konkurencingumo matu priimtas trimatis indikatorius, kuris priklauso nuo veiklos sričių, dominuojančių šalyje, tarptautinių ekonominių santykių bei teisinės, finansinės, ekologinės, gamtinių išteklių ir geografinės padėties aplinkos konkurencingumų. Straipsnyje daroma prielaida, kad galima kiekybiškai įvertinti tiek bendrąjį konkurencingumą, priklausomai nuo trijų iš paminėtų komponenčių konkurencingumų, tiek kiekvienos iš komponenčių konkurencingumą, priklausomai nuo jas sudarančių subkomponenčių konkurencingumų, remiantis visuotinai pripažintais metodais arba ekspertinėmis priemonėmis. Taip pat daroma prielaida, kad yra pažinios kiekybinės priklausomybės tarp subkomponenčių konkurencingumų prieaugių ir sąnaudų, reikalingų jiems pasiekti, apimčių. Lėšų, sukauptų ir paruoštų integruotam šalies konkurencingumo rodikliui padidinti, įvertinti ir optimaliai paskirstyti, instrumentu yra pasirinkta portfelio teorija, adekvati sprendimų rezultatų patikimumo įvertinimui ir leidžianti įvertinti plėtros galimybių patikimumą esant skirtingiems rizikos lygiams. Rizikos valdymo sėkmė yra laikoma aukščiausios svarbos veiksniu, įtvirtinančiu šalies konkurencingumo plėtros tvarumą. Galutinė ekspertinės sprendimų priėmimo ir paramos sistemos principų struktūrizacija aptariama pritaikant sistemą konkurencingumo ir rizikos valdymui.
Abstract. The goal of the paper is development of the conception of sustainable return investment decisions strategy in capital and money markets and modeling of investment decisions along sustainable development concept in capital and money markets. The research was performed with an experiment in FOREX and in some matured and emerging capital markets. The adequate for investments decisions reliability assessment portfolio will be presented and analysed as main instrument for developing sustainable return investment decisions strategy. The cases of practical implementation of adequate portfolio will be widely described. Further, the pragmatical problems how to use the strategy as innovative and effective financial instrument for investors and stock treasury will be discussed. Practical calculation was made on the very last data of different markets.
The paper deals with the conception of integrated bank assets and liabilities portfolio adequate to stochastic nature of assets profitability and liabilities expenditures. Two interconnected situations are considered. Firstly, the principles of construction of an investment portfolio, adequate to stochastic nature of an investment yield arc considered. Further, the idea of consideration and optimal selection of integrated assets and liabilities portfolio is considered. These problems are solved on the basis of the authors’ idea of investment portfolio adequate for stochastic nature of investment portfolio and the numerical solution of such problems, which is briefly presented.
Abstract:The present article is an attempt to perceive the universal sustainability observable in an individual country or region, where the religious, political, social-demographic, economic, environmental, creative, technological and investment subsystems are revealed not only through the vitality of spiritual and material existence media, but rather through the signs of the development of these subsystems as self-assembled units through the erosion of their interaction. The problem of optimal allocation of investment resources among the separate sustainability's subsystems was addressed by means of expert methods and techniques of portfolio methodology which will enable the achievement of the enshrined universal sustainability standards. A country-specific index composition of sustainability subsystems' indices was chosen as the universal sustainability index for the specific country. The index in its dynamics is perceived as a random process. While projecting its state and evaluating its power, i.e., the impact of the subsystem efficiency in a particular moment, this power is measured by the level of the index and the reliability or guarantee of an appropriate level. To solve the problem of investment resources allocation, the idea of Markowitz Random Field was invoked in order to reach the maximum power of sustainability index while applying the technical solution-the so-called "GoldSim" system. Engineering is a methodology that aspires to reveal the core attributes of complex systems and instruments in order to manage the possibility to influence these properties for the systems. Experimental expert evaluation and case study is performed on Lithuanian data.
Šiame straipsnyje nuosekliai išdėstoma autoriaus taip pavadinto adekvačiojo investavimo portfelio sudarymo eiga, pateikiamos adekvačiojo investavimo portfelio panaudojimo analogijos su moderniuoju, arba Markowitzo, portfeliu. Atskleidžiami adekvačiojo investavimo portfelio panaudojimo ypatumai, kai investavimo aktyvai turi sudėtingus savo pelningumo galimybių tikimybės skirstinius, taip pat integruotam akyvų ir įsipareigojimų valdymui. Kartu straipsnyje yra nagrinėjamos imitacinio modeliavimo galimybės, sprendžiant adekvačiojo portfelio turinį išreiškiančių matematinių modelių sistemą, kuri savo ruožtu būna sudėtinga stochastinio programavimo problema: jai nagrinėti reikia originalių problemos formulavimo ir sprendimo metodų. Straipsnyje pateikiama situacijų reprezentatyviojo analogo idėja, kurios esmę išreiškia integruotas reprezentatyviosios aibės ir imitacinio modeliavimo galimybių panaudojimas. Galiausiai straipsnyje parodoma, kaip adekvatusis investavimo portfelis ir situacijos reprezentatyvusis analogas naudojami konkrečiai investavimo problemai spręsti.
Abstract.The main task of this paper is to examine a short term trend trading strategy in futures market based on chart pattern recognition, time series and computational analysis. Specifi cations of historical data for technical analysis and equations for futures profi tability calculations together with position size measurement are also discussed in the paper. A contribution of this paper lies in a novel chart pattern related to fractal formation and chaos theory and its application to short term up-trend trading. Trading strategy was tested with historical data of the most active futures contracts. The results have given signifi cantly better and stable returns compared to the change of market benchmark (CRB index). The results of experimental research related to the size of trading portfolio and trade execution slippage are also discussed in the paper. The proposed strategy can be attractive for futures market participants and be applied as a decision support tool in technical analysis.
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