Abstract
Proceedings of the 15th International Business Information Management Association Conference (15th IBIMA), 6 - 7 November 2010, Cairo, Egypt, pp. 483-496. (Knowledge Management and Innovation: A Business Competitive Edge Perspective, edited by Khalid S. Soliman. On CD: ISBN: 978-0-9821489-4-5)
Highlights
An analytical study is done to search for an effective solution to the portfolio selection problem. Coleman (2001) and Czyzyk et al indicate that “Portfolio theory assumes that for a given level of risk, investors prefer higher returns to lower returns
In order to find the optimal or best strategy as an effective solution to the portfolio selection problem, different investment strategies are compared over different time horizons
This paper proposes some decision making strategies that do not use risk measures in the decision making process, i.e. decisionmaking under uncertainty
Summary
An analytical study is done to search for an effective solution to the portfolio selection problem. Coleman (2001) and Czyzyk et al indicate that “Portfolio theory assumes that for a given level of risk, investors prefer higher returns to lower returns. The Markowitz portfolio selection model was used to find a solution portfolio selection problem This is a nonlinear optimisation model that searches for a portfolio of funds that minimises risk, as measured by its variance. This paper investigates investment strategies that use decision-making under uncertainty. These investment strategies are compared with the Money Market (MM), which has very little risk associated with it. The results of perfect information strategies and investment strategies that use models for decisionmaking under uncertainty are included. According to Hansson (2005), modern decision theory has developed since the 1950s through contributions from a number of fields of study, including statistics, economics, psychology, political sciences, social sciences and philosophy. The following are examples of complex decisions that were made with decisionmaking under uncertainty strategies:. The Club of Rome developed an economic growth and resource usage model that helps politicians to make reallife decisions in complex situations (The Club of Rome, 2008)
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