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Studiu privind Programarea cu Obiectiv Multiplu pentru optimizarea gestiunii portofoliului

Author

Listed:
  • Mircea BAHNA

    (Academia de Studii economice din București)

Abstract

Programarea obiectivelor, ca metoda folosită în finanțe are ca scop identificarea potențialelor scenarii de satisfacere a obiectivelor conflictuale, ca de exemplu maximizarea rentabilității/profitului și reducerea riscului/pierderii. Așadar, motivația alegerii studiului acestei metode este dată de potențialele scenarii pe care managerul de portofoliu sau investitorul le au la dispoziție. Evident că decizia în sine îi va aparține acestuia, în ceea ce privește limitele randamentului/riscului, iar traderii vor realiza execuția acestui obiectiv. Analiza punctuală a ramurii de programare a obiectivelor polinomiale va fi făcută pentru indicarea satisfacerii limitărilor mult menționate încă de la începutul teoriilor moderne de gestiune a portofoliului, acelea de a încorpora momentele de ordin superior în decizia de investire

Suggested Citation

  • Mircea BAHNA, 2020. "Studiu privind Programarea cu Obiectiv Multiplu pentru optimizarea gestiunii portofoliului," Journal of Financial Studies, Institute of Financial Studies, vol. 8(5), pages 154-166, June.
    • Handle: RePEc:fst:rfsisf:v:1:y:2020:i:8:p:154-166
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    More about this item

    Keywords

    programarea obiectivelor; programarea polinomială a obiectivelor; gestiunea portofoliului; risc-rentabilitate; optimizare; momente de ordin superior;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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