Please use this identifier to cite or link to this item:https://hdl.handle.net/20.500.12259/1305
Type of publication: Straipsnis / Article
Author(s): Nechval, Konstantin N.;Nechval, Nicholas A.;Zolova, Natalia;Berzins, Gundars;Purgailis, Maris
Title: Optimal multiperiod project portfolio investment under uncertainty
Other Title: Investicinių projektų portfelio optimizavimas esant neapibrėžtumui
Is part of: Taikomoji ekonomika : sisteminiai tyrimai, 2007, t. 1, nr. 2, p. 113-124
Date: 2007
Keywords: Project;Projektas;Portfolio;Multiperiod investment;Optimal control;Portfelis;Kelių periodų investavimas;Optimalumo kontrolė
Abstract: The authors present a mathematical model of investment for a set of projects under conditions of uncertainty. The model addresses the problem of an investor with access to a limited pool of capital who makes decisions on investment. They discuss optimal investment decisions for the cases where the return from investment is a random variable. The single-period and multiperiod cases of investment decisions are considered. The paper presents closed form solutions for commonly adopted utility functions.
Autoriai pristato matematinį investavimo modelį, kuris gali būti pritaikytas projektų rinkiniui egzistuojant neapibrėžtumui. Modelis skirtas padėti ribotus išteklius turinčiam investuotojui priimti investavimo sprendimus. Autoriai analizuoja optimalius investavimo sprendimus atvejams kuomet investicijų grąža yra atsitiktinis kintamasis. Yra vertinami vieno ar daugelio periodų atvejai. Straipsnyje pristatomi uždaro tipo bendrai pritaikomų naudingumo funkcijų sprendiniai.
Internet: https://eltalpykla.vdu.lt/1/1305
https://hdl.handle.net/20.500.12259/1305
Appears in Collections:Taikomoji ekonomika: sisteminiai tyrimai / Applied Economics: Systematic Research 2007, nr. 1(2)

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