Finding Of The Optimum Investment Portfolio Of The Insurance Company With The Use Of Utility Function
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AUTHOR(S)
Kozmenko Olga, Oliynyk Viktor
KEYWORDS
Keywords: Utility function, Profitability, Risk, Optimum, Indifference curves, Surface of level.
ABSTRACT
ABSTRACT: In this paper numerical results for the optimization problem of the shares distribution in the investment portfolio of the insurance company are provided , basing on the historical period results, and taking into account the profitability of individual stocks and the yield of the whole portfolio. Optimized portfolio is obtained taking into account minimal risk in the form of the VaRindicator. The stock market game scheme is provided basing on stock prices in the portfolio. Taking into account the utility function, lines and surfaces of level are built. The strategy minimizing risk and maximizing utility function is received.
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