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About the effectiveness of portfolios found using the game-theoretic method
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About the effectiveness of portfolios found using the game-theoretic method
Annotation
PII
S042473880000018-8-1
Publication type
Article
Status
Published
Authors
Anatoly Sigal 
Affiliation: V. I. Vernadsky Crimean Federal University
Address: Russian Federation
Edition
Volume 54 Issue 1
Pages
125-144
Abstract
The article discusses the features, advantages and disadvantages of using the concept of the combined application of statistical and antagonistic games to determine the portfolio structure in different information situations that has the lowest level of economic risk. Special attention is given to substantiation of the appropriateness of game-theoretic methods for finding the portfolio structure, which has the lowest level of economic risk, and to the substantiation of the effectiveness of portfolios, the structure of which is found using the game-theoretic method. The essence of the combined application of statistical and antagonistic games lies in identification of the initial statistical game modeling a management decisions with an antagonistic game, whose payoff matrix coincides with the payoff matrix of the initial statistical game. In the article, antagonistic games are defined as finite matrix games, i.e. games of two persons with zero-sum. Statistical and antagonistic games have the same formal structure. This fact gives the theoretical and practical options to apply combinations of statistical and antagonistic games. Under certain circumstances, solving the corresponding antagonistic game leads to finding the structure of the portfolio that has the lowest level of risk (under certain conditions, for any valid probability distribution of the economic environment states).
Keywords
statistical game, antagonistic game, information situation, portfolio structure, economic risk, portfolio effectiveness
Received
14.11.2018
Date of publication
14.11.2018
Number of purchasers
14
Views
2045
Readers community rating
0.0 (0 votes)
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References

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