| Title |
Vertybinių popierių portfolio sisteminės ir nesisteminės rizikos vertinimas / |
| Translation of Title |
Estimation of Systemic and Non-systemic Risk for Stock Portfolio. |
| Authors |
Navickaitė, Gintarė |
| Full Text |
|
| Pages |
61 |
| Keywords [eng] |
systemic risk ; non-systemic risk ; portfolio optimization ; multicriteria optimization |
| Abstract [eng] |
Appropriate formation of securities portfolio can guarantee long-term investment in the future. Appropriately selected method of portfolio formation can ensure result reliability. Scientists have created numerous methods of optimization, the portfolio is formed with regard to not only two criteria, i.e. risk and refund, as Markowitz theory of 1952 claims. Using current optimization methods and applying various programming means, optimal portfolio can be formed not according two but referring to all criteria investors are interested in. Evaluating by more than two criteria a problem of criteria compatibility occurs. It can be solved by searching for an optimal solution in the meaning of Pareto. Multicriteria optimization methods provide many Pareto optimal solutions for portfolio optimization. The investor selects the solution corresponding to his/her expectations. Having formed optimal portfolio it is critical to evaluate its risk appropriately in order to determine how portfolio profitableness reacts to market changes. General portfolio risk is divided into systematic and unsystematic. Appropriate evaluation of portfolio risks will help to determine portfolio profitableness sensitivity to market changes and related to every enterprise. |
| Dissertation Institution |
Kauno technologijos universitetas. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2017 |
