Title Optimalaus investavimo modelio programinis realizavimas, tyrimas ir taikymas /
Translation of Title Implementation, investigation and application of optimal investment.
Authors Dimša, Jonas
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Pages 64
Keywords [eng] optimal portfolio ; utility function ; investment
Abstract [eng] There was introduced the portfolio optimization model in Master thesis. This model is based on investor’s utility function, which determines the investor's attitude to the profit-to-risk relation. The paper introduces the principles of the model and provides the technical documentation of the “Optimal Portfolio” software as well as an analysis of how different model parameters affect the final results of the portfolio. There were briefly discussed alternative models of portfolio optimization. Many of them where developed from Markowitz model, this is why this model is discussed in more depth. Finally, there was made an analysis of how these two models operate in real market.
Type Master thesis
Language Lithuanian
Publication date 2009