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.
Santrauka. Šiuolaikinėje finansų rinkoje ir finansų mokslo srityje kyla žiniomis pagrįstų ir programiškai aprūpintų sistemų, padedančių investuotojams ir finansų analitikams laiku priimti tinkamus sprendimus, poreikis. Straipsnyje siūloma galima priemonė optimalaus portfelio sudarymo problemai kapitalo rinkoje spręsti -investicijų portfelio sprendimų paramos sistema. Straipsnyje taip pat detaliai aprašoma sistemos struktūra ir pagrindiniai veikimo principai. Sistema paremta adekvačiojo portfelio modeliu, siūlančiu portfelio reikšmes matuoti pagal tris parametrus -pelningumą, patikimumą ir riziką. Taip sprendimų priėmimo posistemyje formuojami du erdviniai paviršiai -galimybių (efektyvusis) paviršius ir naudingumo funkcijų paviršius, kurių susilietimo taške gaunamas optimalus sprendinys -investicijų portfelio struktūra. Pateikiamos galimos sistemos plėtojimo kryptys ir pritaikymo galimybės.Reikšminiai žodžiai: investicijų portfelis, adekvačiojo portfelio modelis, sprendimų paramos sistema, sistemos inžinierius, prognozavimas, monitoringas.
INVESTMENT PORTFOLIO FORMATION USING DECISION SUPPORT SYSTEM Viktorija StasytytėVilnius Gediminas Technical University, Saulėtekio al. 11, LT-10223 Vilnius, Lithuania E-mail: viktorija.stasytyte@vgtu
.lt Received 01 March 2012; accepted 20 June 2012Abstract. In contemporary financial market and scientific field of finance the demand for knowledge-based and software-supplied systems allowing investors and financial analysts to make proper and timely decisions is rising. The possible instrument for solving the problem of optimal portfolio formation in the capital market is proposed in the paper -the investment portfolio decision support system. The paper also thoroughly describes the structure of the system, as well as its main operation principles. The system is based on the adequate portfolio model, which proposes to express portfolio values in three parameters -profitability, reliability and risk. Thus in decision-making subsystem two surfaces are formed -possibilities (efficient) surface and utility functions' surface, and in their tangency point the optimal decision is found -the structure of investment portfolio. The possible trends of system's development and possibilities of its application are presented.
The concepts of effectiveness, riskness and reliability are three cornerstones which together with utility of investor constitute the base for decisions perception and management logic in order to match the possibilities of investment space with investor's objectives. Risk, which is "a chance or possibility of danger, loss, injury, or other adverse consequences" (The Oxford Modern English Dictionary) or, specifically, in the area of investment management -"the chance that an investment (as a stock or commodity) will lose value" (Webster Dictionary) is the function of risksness of selected assets altogether with skills of a subject to manage the riskness of the analysed object, process, etc. Thus risk is analysed as an interaction of possibilities riskness and abilities of a subject (investor) to manage these possibilities. The paper will reveal a consistent way towards investment possibilities set description, when investment assets possibilities are under uncertainty, what is understood in this paper as under stochasticity. As a possible means of the above mentioned match the authors propose portfolio adequate for investment stochastic nature and present its formation and application principles. This model has broad application possibilities in investing in exchange and capital markets as well as in forming sustainable investment strategies. There are many figures and schemes in the text. This is caused by the consideration that where geometrical drawing can provide a non-false solution, this drawing becomes also a decision search visualization instrument. Reference to this paper should be made as follows: Rutkauskas, A. V.; Stasytytė, V. 2011. Optimal portfolio search using efficient surface and three-dimensional utility function, Technological and Economic Development of Economy 17(2): 291-312. JEL classification: C53, C61, D81, G11, Q01.A. V. Rutkauskas, V. Stasytytė. Optimal portfolio search using efficient surface ...
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