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2004, vol. 7, iss. 26, pp. 67-78
Optimalization of financial market by financial instruments diversification
Up to date development in theoretical applications implementation in the domain of the investment project assessment, as well as the assessment of portfolio, has been mainly focused on implementation of mathematical statistical methods. In this domain there are a lot of works in which well-known statistical techniques, and more complex stochastic apparatuses and models are used, which showed to be more significant in the circumstances of the extreme aleatory of financial market. The efficiency of these models is mainly measured by the extent of statistical significance of stochastic relations between key variables. In the wide spectrum of models only a few works are devoted to the implementation of strategic games in the assessment of portfolio diversification. And just this article is dedicated to this issue. Starling from the well-known models of games theory, through the more complex models, the authors implemented targets of strategic games as optimal ones for determining equilibrium diversification of portfolio in the basic case, and for the case of two portfolios there is the possibility of generalization on N-portfolio basis. In brief, this work is of innovative character and represents the challenge for professionals who prefer modeling trends in the financial market by using formal methods.
Haugen, R.A. (1996) Modern investment theory. New York Press
Levy, H. (1989) Evaluation and risk. New York Press
Markowitz, H.M. (1952) Portfolio selection. Journal of Finance, vol. 7, mart, str. 77-91
Nigel, H. Theory of meta-games. University of Puramaja - Management Science Center, 66
von Neumann, J., Morgenstern, O. (1944-1953) Theory of games and economic behavior. Princeton, NJ: Princeton University Press


article language: Serbian
document type: Professional Paper
published in SCIndeks: 02/06/2007

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