Formation of Effective Investment Portfolios on the Financial Markets: Estimation and Management Models

Yulia Eduardovna Slepukhina, Alexandr Yurievich Kazak

Abstract


The articles deal with consideration of actual issues of formation of effective investment portfolios on the financial markets, in particular, the portfolio of such active institutional investors, as insurance company. The necessity of effectiveness enhancement of investment activity of insurance institutes in the modern conditions was substantiated; the model of insurer’s investment portfolio management, within which the non-linear multi-criteria management task is solved, where criteria include profit maximization and portfolio risk minimization, was developed. The solution of this task, based upon methodological application of theory of non-antagonistic positional differential games.

DOI: 10.5901/mjss.2015.v6n2s4p21


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Mediterranean Journal of Social Sciences ISSN 2039-9340(Print) ISSN 2039-2117(Online)

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