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The Markov Model in the evolution stability of stock market and associated fuzzy optimization of the investment portfolio
Authors:
- B. Yu. Kyshakevych,
- A. K. Prykarpatski,
- I. P. Tverdokhlib,
- Ya. A. Prykarpatsky,
- M. I. Vovk
Abstract
The realistic Markov model of the management of the index of the priority investment on the base of the fuzzy mathematical programming is suggested and studied in detail. Based on the investor's higher dividend interest rate approach, there is also studied the investment portfolio capital optimization problem. The related stability problem is analyzed from the fuzzy decision making theory standpoint. The evolution stability of the market mechanism of the management of the portfolio investment capital is investigated.
- Record ID
- CUT1d5c7aff5bdd4bdf893df0f7e5a3c7d9
- Publication categories
- ; ;
- Author
- Journal series
- Journal of Mathematics, Statistics and Computing
- Issue year
- 2019
- No
- 1 (2)
- Pages
- 17-23
- Other elements of collation
- schem.; Bibliografia (na s.) - 23; Bibliografia (liczba pozycji) - 20; Oznaczenie streszczenia - Abstr.; Numeracja w czasopiśmie - 1 (2)
- Keywords in English
- Markov Model, market mechanism: evolution stability, investment portfolio, capital optimization problem, fuzzy sets, bank assets, decision theory
- URL
- https://www.enlivenarchive.org/mathematics-statistics-and-computing/index.php?content=pastissues-display&&month=December&&year=2019&&jrnl=jmsc Opening in a new tab
- Related project
- Teoria równań i nierówności różniczkowych, układy dynamiczne na rozmaitościach, wybrane działy: analizy matematycznej topologii algebry i geometrii oraz probabilistyki teorii grafów i liczb. . Project leader at PK: , ,
Działalność statutowa - Language
- eng (en) English
- License
- Score (nominal)
- 5
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUT1d5c7aff5bdd4bdf893df0f7e5a3c7d9/
- URN
urn:pkr-prod:CUT1d5c7aff5bdd4bdf893df0f7e5a3c7d9
* presented citation count is obtained through Internet information analysis, and it is close to the number calculated by the Publish or PerishOpening in a new tab system.