PL EN


2013 | 124 | 45-62
Article title

Statystyczna nieokreśloność w wycenie charakterystyk rynków finansowych

Content
Title variants
EN
The Statistical Uncertainty in the Measurement of the Characteristics of Financial Markets
Languages of publication
PL
Abstracts
EN
Considered in developing the financial model exemplification of the market in terms of statistical uncertainty was recognized as an example the task of modeling rational investor behavior. Shows how to determine the existence of an acceptable solution of the problem search strategy portfolio management, hedging given level of profitability and risk. Discusses the algorithm to construct the optimal portfolio management, derivative financial instruments under conditions of uncertainty in determining the profitability of this or any other financial instrument.
Year
Volume
124
Pages
45-62
Physical description
Contributors
References
  • Dothan M.V.: Prices in Financial Markets, Oksford Univ. Press, Oxford 1990.
  • Gołębiowski D.J., Dołmatow A.S.: Sterowanie portfelem pochodnych instrumentów finansowych. RAN. "Teoria i Systemy Sterowania", nr 4, Moskwa 2000.
  • Krasowski N.N.: Sterowanie i stabilizacja przy deficycie informacji, RAN, "Techniczna Cybernetyka", No. 1, Moskwa 1993.
  • Podstawy stochastycznej finansowej matematyki, FAZIS, T. 1, Fakty. Modele, T. 2, Moskwa 1998.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-cb7409f6-b091-487e-9a45-3f9b157bf6ec
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