IDEAS home Printed from https://ideas.repec.org/a/taf/reroxx/v35y2022i1p1061-1087.html
   My bibliography  Save this article

The possibilities and consequences of investment decisions by stepwise optimization

Author

Listed:
  • Laima Okunevičiūtė Neverauskienė
  • Manuela Tvaronavičienė
  • Aleksandras Vytautas Rutkauskas
  • Irena Danilevičienė
  • Viktorija Stasytytė

Abstract

The paper deals with the application of stochastic optimization principles for investment decision making. The authors present the investment management system based on an adequate portfolio model. For optimal portfolio construction and stock selection, the method of stochastically informative expertise and ranging is used. Investment portfolios in equity and currency markets are formed considering investor risk tolerance and risk preference level, as well as an individual utility function. Investment portfolios are constructed according to three criteria: return, risk, and reliability. The markets of Germany, the USA, and China, as well as foreign exchange markets, are analysed. The results reveal the efficient investment possibilities in the mentioned markets, allowing to reach investment return substantially exceeding market index return. Along with that, an innovative stochastic clustering methodology for investment assets is proposed. The obtained results are of great value for individual as well as institutional investors and are a suitable means to form efficient investment strategies in financial markets.

Suggested Citation

  • Laima Okunevičiūtė Neverauskienė & Manuela Tvaronavičienė & Aleksandras Vytautas Rutkauskas & Irena Danilevičienė & Viktorija Stasytytė, 2022. "The possibilities and consequences of investment decisions by stepwise optimization," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 35(1), pages 1061-1087, December.
    • Handle: RePEc:taf:reroxx:v:35:y:2022:i:1:p:1061-1087
    DOI: 10.1080/1331677X.2021.1955222
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1331677X.2021.1955222
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1331677X.2021.1955222?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:reroxx:v:35:y:2022:i:1:p:1061-1087. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rero .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.