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2019, vol. 14, br. 2, str. 373-387
Optimizacija upravljanja investicionim portfolijom
aSumy State University, Department of Economic Cybernetics, Sumy, Ukraine
bKharkiv National University of Economics, Department of Finance, Kharkiv, Ukraine

e-adresaoliynyk.viktor@gmail.com
Ključne reči: menadžment; optimizacija; investicije; sredstva; VpR
Sažetak
Razmatran je zadatak kreiranja investicionog portfolija od strane finansijske institucije. Sredstva za izradu portfolija uzimaju se iz dva izvora: kapitalni fondovi preduzeća i pozajmljena sredstva. Izvršena je optimizacija kreiranog portfolija. Dobijen je portfolio maksimalne efikasnosti sa ograničenjem mere rizika koji je naveden u obliku VpR (vrednost pri riziku) indikatora. Korištenjem podataka za optimizaciju portfolia gradi se model upravljanja imovinom portfolia. Koristeći Pontriaginov princip maksimuma, utvrđuju se optimalne strategije njegovih učesnika. Pronađena je optimalna funkcija upravljanja investicionim portfoliom u vidu udela dobijenog dohotka. Prikazani su numerički rezultati optimalnog upravljanja investicijama u finansijskom portfoliju finansijske institucije kao i poverilaca.
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O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.5937/sjm14-16806
objavljen u SCIndeksu: 30.05.2020.
metod recenzije: dvostruko anoniman
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