On the optimization of investment strategies in the context of virtual financial market by the individual approach to risk

DOI10.15388/INFORMATICA.2014.13zbMATH Open1316.91032OpenAlexW1735662619MaRDI QIDQ5262416FDOQ5262416

Authors Jonas Mockus, Igor Katin, Joana Katina 

Publication date 15 July 2015

Published in Informatica (Vilnius) (Search for Journal in Brave)

Full work available at URL http://content.iospress.com/articles/informatica/inf25-2-04

zbMATH Keywords

optimizationNash equilibriumutility theoryportfolio problemstock exchange

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(3)

• Goal-based investing based on multi-stage robust portfolio optimization
• Simulation-based parametric optimization for long-term asset allocation using behavioral utilities
• Application of portfolio optimization to achieve persistent time series

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