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Business Management Research and Innovation Research Groups Investment portfolio management: interaction of return, risk and reliability

Investment portfolio management: interaction of return, risk and reliability

The aim of the research is to improve the adequate investment portfolio model and to apply it for rational resource allocation in various fields of activity, such as investment, finance, marketing, risk management, sustainability, etc.
 
Topicality and originality of the research. The research is in line with many contemporary economic and financial attempts to find a better than Markowitz model for portfolio selection.
 
 
Searching for the optimal solution, three parameters in investment portfolio are analysed: return, risk and reliability. The solution is found using stochastic optimization. All the possible portfolios are presented by the three-dimensional efficient surface, and the three-dimensional utility function approaches the mentioned surface to find the optimal decision point.
The research is important in the field of economics and portfolio management, as the search for the third parameter in investment portfolio optimization has been very topical since the origin of the Markowitz model in 1952, and this problem has not been solved yet. Practically, the proposed model can be applied by individual and institutional investors for more efficient investment management, and by private companies and public organizations for resource allocation to various fields of activity.
Investment portfolio, risk, reliability, sustainable development, efficiency.

MEMBERS

Supervisor:
Assoc Prof Dr Viktorija Stasytytė (CV and publications)
Researchers:
Prof Dr Habil Aleksandras Vytautas Rutkauskas (CV and publications)
Assoc Prof Dr Raimonda Martinkutė-Kaulienė(CV and publications),
Lecturer Irena Danilevičienė (CV and publications),
Lecturer Ingrida Grigonytė (CV and publications),
Dr Grigorij Žilinskij (CV and publications),
Lecturer Alina Kvietkauskienė (CV and publications),
Dr Galina Ševčenko (CV and publications),
Andrius Rutkauskas
PhD students:
Povilas Vyšniauskas

MAIN MONOGRAPHS AND PUBLICATIONS

  1. Stasytytė, V. 2015. Conceptualization of financial system sustainability. Journal of Security and Sustainability Issues. Vilnius: Generolo J.Žemaičio LKA. ISSN 2029-7017. Vol. 4, iss. 4, p. 391-402.
  2. Rutkauskas, A.V.; Ignotas, A.; Stasytytė, V.; Kvieskienė, G.; Celiešienė, E.; Mikulskienė, B.; Pitrėnaitė-Žilėnienė, B.; Navickas, V.; Ruškytė, D.; Podvezko V. 2014. Įžvalgi investavimo strategija puoselėjant universalųjį plėtros tvarumą. Vilnius: BMK leidykla, 362 p. ISBN 978-609-468-029-8.
  3. Stasytytė, V.; Rutkauskas, A. V. 2014. Sustainable investment return as main indicators of universal sustainability efficiency. The 18th World Multi-Conference on Systemics, Cybernetics and Informatics: July 15 - 18, 2014 – Orlando, Florida, USA: proceedings: vol. II / International Institute of Informatics and System P. 24-29.
  4. Stasytytė, Viktorija, Martinkutė-Kaulienė, Raimonda, Trading futures contracts in global markets / The 8th international scientific conference "Business and Management 2014": selected papers. May 15-16, 2014. Vol. 1. ISSN 2029-4441 ISBN 9786094576508 p. 328-335.
  5. Rutkauskas, A. V.; Navickas, V.; Stasytytė, V. 2014. Universally sustainable development as a framework of small countries economic efficiency and national self-sufficiency.  The 8th international scientific conference "Business and Management 2014": May 15-16, 2014, Vilnius, Lithuania: selected papers. Vol. II. ISSN 2029-4441 P. 877-885

SCIENTIFIC PROJECTS

  1. Dalyvavimas Ilgalaikės institucinės ekonomikos mokslinių tyrimų programos 2012-2014 metams „Lietuvos ekonomikos ilgalaikio konkurencingumo iššūkiai“ 2.4 temoje (projekte) „Atlikti šalies ekonominio aktyvumo ir integracijos į ES bei tvarios plėtros galimybių ir pasekmių modeliavimą atsižvelgiant į inovacijų akumuliavimo galimybes ugdyti šalies konkurencinį potencialą“ (projekto temos nr. F49035). Laikotarpis: nuo 2012 m. spalio iki 2014 m. rugpjūčio mėn.
  2. Dalyvavimas Ilgalaikės institucinės ekonomikos mokslinių tyrimų programos 2012-2014 metams „Lietuvos ekonomikos ilgalaikio konkurencingumo iššūkiai“ 5.3 temoje (projekte) „Parengti verslo ir viešojo sektoriaus veiklų valdymo poveikio bei ekonominio veiksmingumo vertinimo matavimo metodiką“ (projekto temos nr. F49036). Laikotarpis: nuo 2012 m. spalio iki 2014 m. rugpjūčio mėn.
  3. Dalyvavimas projekte „Investavimo strategijos nedidelei šaliai parengimas, siekiant universalaus plėtros tvarumo“ Nr. VP1-3.1-ŠMM-07-K-03-060. Laikotarpis: nuo 2013 m. gegužės iki 2015 m. rugsėjo mėn.
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