POSIBILISTIČKO PROGRAMIRANJE U IZBORU PORTFELJA
POSSIBILISTIC PROGRAMMING IN PORTFOLIO SELECTION
Author(s): Dragan StojićSubject(s): Economy, Management and complex organizations, Financial Markets
Published by: Fakultet za pravne i poslovne studije dr Latar Vrkatić
Keywords: portfolio; optimization; fuzzy sets
Summary/Abstract: The paper discusses the formulation of a possibilistic programming model aimed at selecting the optimal portfolio. The author proposes possibilistic distributions for returns and variances of stock prices that are not traded daily. In addition to maximizing expected returns while minimizing risk, the model also incorporates several indicators calculated based on financial reports: paid dividends, liquidity, efficiency of physical and intellectual capital. An illustrative example based on data from the Belgrade Stock Exchange is presented.
Journal: Civitas
- Issue Year: 14/2024
- Issue No: 02
- Page Range: 15-41
- Page Count: 27
- Language: English, Serbian
