IJTEEE
International Journal of Technology Enhancements and Emerging Engineering Research (ISSN 2347-4289)
PREVIOUS PUBLICATIONS



IJTEEE >> Volume 2 - Issue 8, August 2014 Edition



International Journal of Technology Enhancements and Emerging Engineering Research  
International Journal of Technology Enhancements and Emerging Engineering Research

Website: http://www.ijteee.org

ISSN 2347-4289



Finding Of The Optimum Investment Portfolio Of The Insurance Company With The Use Of Utility Function

[Full Text]

 

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 insur-ance 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 VaR-indicator. 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.

 

REFERENCES

[1] Neumann J.von, Morgenstern O. (1953) Theory of games and economic behavior /. Princeton: Princeton university press.

[2] Shapkin A.S, Shapkin V.A. (2005) Risk Management: Theory and modeling of risk-situations, M.:Dashkov& K.-880P.

[3] Grayson C..J. (1960) Decisions under uncertainty: Drilling decisions by oil and gas operators.. Division of Research, Harvard Business School, Bos-ton,Mass.,.

[4] Lobanov A.A., Chugunov A.V. (2003) Encyclopedia of the financial risk management /. - M.: Alpina Pablisher.-768P.

[5] Good D.B. (2000) Value-at-risk tradeoff: Accuracy vs. computational time.// Commodities Now.March.V.4.No.I.P.63-68.

[6] Markovitz H. (1952) Portfolio selection // Journal of Finance.No.7.P.77-91.