The main objective of the paper is to present the solution to the problem of possibilities’ reliability management, which is an important problem of uncertainty (risk) economics. Also, the paper aims to propose adequate methods of stochastic optimization and reveal their broad implementation possibilities. Along with that, the concept of utility function is being disclosed, when we take into account not only the possibilities of prices and costs, but also their reliability, in order to achieve the highest value added in this process. The original methods of stochastic optimization are used, while searching for the optimal allocation of invested capital among the investment assets. Adequate investment portfolio is treated as theoretically sound and practically effective instrument for investment decision-making in capital and currency markets, as well as for other problems related with optimal resource allocation. The adequate portfolio supplements the modern portfolio by adding the third portfolio parameter – the reliability of return. Also, the utility function based on return, reliability and risk is used to find the optimal investment possibility for particular investor. The formed portfolio solutions were tested in the markets of NYSE, UK and France.
Lithuania, as many other EU countries, encounters key challenges in three energy sector fields: energy independence, energy sector competitiveness and sustainable energy sector development. Such situation is determined by historical and political conditions, as well as by limited internal energy resources. In such context an importance of energy consumption efficiency pursuing country energy sector sustainability is highlighted. By implementing the long-term goals and tasks a country may seek to increase the efficiency of energy production, distribution and consumption, as well as to increase energy production from renewable and waste energy sources. The main objective of the paper is to analyze the efficiency of energy consumption, the factors influencing energy sector competitiveness and sustainability, and to assess the development soundness of the use of renewable energy sources in Lithuania. The paper discusses the main EU legal documents and their provisions regulating energy sector, analyze energy production and consumption efficiency data in Lithuania and reveal the economic effect of the use of renewable energy sources in Lithuania.
Modern organizations have raised a need to actively and quickly react to the changes in external business environment, as well as in internal processes considering not only the present situation, but also evaluating possible changes and forecasting the future. Enterprise risk assessment and management, which is strongly related with foreseeing the uncertain future, becomes topical not only scientifically, but also practically seeking to reveal new and unique solutions. Operational risk management in small and medium enterprises, creating the largest part of value added in the whole European Union, demands a separate attention and coordinated decisions and means. The objective of the paper – to analyse the process of enterprise risk management in small and medium-sized enterprises, as well as to propose adequate risk management solutions for these companies. After performing a research, it was found out that small and medium enterprises more than big organizations require a risk management strategy and methodology, need to distinguish activity objectives and events influencing them, and they can efficiently apply a risk portfolio method to manage risk. In small and medium enterprises it is recommended to incorporate a risk management system based on COSO ERM model that can be modified depending on company needs and possibilities, turning it into less formal and structured and easily applicable.
Integral KNIT Cluster as a Source of Development Factors and Technological Frame for the Realization of Country Developm...Published: 08 November 2014 by Springer Nature in Lecture Notes in Electrical Engineering
The purpose of the paper is to describe how the structure of knowledge, innovation and technologies’ cluster should be formed. The structure of the cluster is understood as a set of interacting components of the system. The authors synthesize the existing opinions and also reveal their own opinion about the possibility to determine the interaction among knowledge, innovation and technologies in the context of value creation or resource management, pursuing the preparation of the project for country universally sustainable development. The paper presents the original evaluation performed by the authors in order to optimally allocate the investment resources for knowledge, innovation and technologies among distinctive subsystems of universally sustainable development, as well as to optimally allocate the investment resources inside the cluster among the creation and development of knowledge, innovation and technologies. For the solution of the mentioned problem the methods of stochastic informative expertize and the adequate investment portfolio have been used.
Universally Sustainable Development As A Framework Of Small Countries‘ Economic Efficiency And National Self-SufficiencyPublished: 01 January 2014 by Vilnius Gediminas Technical University in The 8th International Scientific Conference "Business and Management 2014"
The paper analyses the possibilities of optimal government (national) debt management, trying to maximize the made-up net value for the debtor with the help of funds borrowed by the government. The integral portfolio of debtor assets and debt service liabilities, based on the borrowed funds, is chosen as a solution for the above-described problem. In the paper, an asset is understood as a position of government expenditures, where funds borrowed by the government are used and create a quantifiable profit (value) or the measurable damage or loss is avoided if funds are borrowed. Actually, liabilities are the main debt service positions. Naturally, the value generated by assets, as well as funds spent to settle the liabilities, could be analytically adequately evaluated only in stochastic dimension. Consequently, multidimensional multicriteria stochastic optimization technique is used as a technical solution to the formulated problem. In analytical decisions, the budget funds borrowed by the government are treated as marginal funds. Taking into account a completely new decision technique that has been invoked for government debt management, the methods of decisions are described quite particularly.
Investicijų portfelio sudarymas naudojant sprendimų paramos sistemą Investment Portfolio Formation Using Decision Suppor...Published: 31 August 2012 by Vilnius Gediminas Technical University in Business: Theory and Practice
Marketing Portfolio Management in a Spectrum of Marketing Assets Interaction to Maximize Holder’s UtilityPublished: 19 December 2011 by Publishing House Technologija in Engineering Economics
A whole set of problems rises as Marketing portfolio stratum (cluster) forms: measuring the impact of marketing on business development, identifying the assets of marketing portfolio, structuring the interaction of marketing assets, selecting the quantitative models of mentioned interactions, generating the information required quantitative description by expert or other means. Finally, finding the optimal solution conditioned by marketing as complex media opportunities, what is usually done by formulating particularly complex task of stochastic programming and creating as often as not quite complex decision methods. The article deals with the situation which can be described in the following way. It is assumed that in order to increase marketing contribution, a certain amount of capital is additionally distributed in between 4P elements seeking to achieve optimal additional increase of business results triggered by such investment. Herewith it is aimed to combine for investment the efforts with the possibility in order to spread the obtained increase realization between two segments of customers, with different profit possibilities. Additionally, one more problem appears – how to make the choice between the two creditors when it is possible to evaluate debt service imposed the present value probability distribution of possibilities to each of them. The purpose of situation content is - to find such investment in the 4P mix, sales in A and B segments and loan between the creditor number 1 and 2 proportions which would allow to find the optimum solution, according to a certain composition of the possibility’s effectiveness, reliability and subject risk. To find the solutions, Markowitz random field technique proposed by the authors was used.http://dx.doi.org/10.5755/j01.ee.22.5.967
OPTIMAL PORTFOLIO SEARCH USING EFFICIENT SURFACE AND THREE-DIMENSIONAL UTILITY FUNCTION / OPTIMALAUS PORTFELIO PARINKIMA...Published: 24 June 2011 by Vilnius Gediminas Technical University in Technological and Economic Development of Economy
The concepts of effectiveness, riskness and reliability are three cornerstones which together with utility of investor constitute the base for decisions perception and management logic in order to match the possibilities of investment space with investor's objectives. Risk, which is “a chance or possibility of danger, loss, injury, or other adverse consequences” (The Oxford Modern English Dictionary) or, specifically, in the area of investment management – “the chance that an investment (as a stock or commodity) will lose value” (Webster Dictionary) is the function of risksness of selected assets altogether with skills of a subject to manage the riskness of the analysed object, process, etc. Thus risk is analysed as an interaction of possibilities riskness and abilities of a subject (investor) to manage these possibilities. The paper will reveal a consistent way towards investment possibilities set description, when investment assets possibilities are under uncertainty, what is understood in this paper as under stochasticity. As a possible means of the above mentioned match the authors propose portfolio adequate for investment stochastic nature and present its formation and application principles. This model has broad application possibilities in investing in exchange and capital markets as well as in forming sustainable investment strategies. There are many figures and schemes in the text. This is caused by the consideration that where geometrical drawing can provide a non-false solution, this drawing becomes also a decision search visualization instrument. Santrauka Efektyvumo, rizikingumo ir patikimumo sąvokos – tai trys kertiniai akmenys, ant kurių pasitelkiant investuotojo naudingumą laikosi sprendimų suvokimo ir valdymo logika, siekiant suderinti investicijų erdvės teikiamas galimybes ir investuotojo siekius. Rizika, kuri apibrežiama kaip ,,pavojaus, praradimo, sužeidimo arba kitų neigiamu pasekmių šansas arba galimybė“ (The Oxford Modern English Dictionary), arba, konkrečiai investicijų valdymo srityje – “galimybė kad investicija (akcija arba prekė) praras savo vertę” (Webster Dictionary), yra visų pasirinktų aktyvų rizikingumų funkcija pamatuota su subjekto įgūdžiais valdyti nagrinėjamo objekto, proceso ar pan. rizikingumus. Taigi, rizika nagrinėjama kaip galimybiu rizikingumo ir subjekto (investuotojo) gebėjimų juos valdyti sąveika. Straipsnyje bus atskleistas nuoseklus kelias į investavimo galimybių aibės aprašymą, kuomet investicinių aktyvų galimybės yra neapibrežtos, kas šiame straipsnyje suprantama kaip stochastinės. Kaip galimą aukščiau paminėto suderinimo priemonę autoriai siūlo adekvatųjį investicijų stochastinei prigimčiai portfelį, pateikdami jo sudarymo ir panaudojimo principus. Šis modelis turi plačias pritaikymo galimybes tiek investuojant valiutų ir kapitalo rinkose, tiek formuojant tvarios plėtros strategijas. Tekste pateikta labai daug...
Effectiveness, reliability and subject risk - Shaping drivers for the set of possibilities and utility function when inv...Published: 12 May 2010 by Vilnius Gediminas Technical University in The 6th International Scientific Conference "Business and Management 2010"
Regional Competitiveness Information System as a Result of Information Generation and Knowledge EngineeringPublished: 15 December 2009 by Springer Nature in Advanced Techniques in Computing Sciences and Software Engineering
The main idea of the paper is the formation of regional competitiveness information system conception, structurization of this system, determining the sources of its information supply and its application to decisions management. Proper knowledge on competitiveness contents and various attributes of competitiveness ensure the effective functioning of the system. Fully developed regional competitiveness information system can be applied for formation and application of regional development strategies.
INVESTMENT DECISIONS MODELLING ALONG SUSTAINABLE DEVELOPMENT CONCEPT ON FINANCIAL MARKETS / INVESTICINIŲ SPRENDIMŲ MODEL...Published: 30 September 2008 by Vilnius Gediminas Technical University in Technological and Economic Development of Economy
The goal of the paper is development of the conception of sustainable return investment decisions strategy in capital and money markets and modeling of investment decisions along sustainable development concept in capital and money markets. The research was performed with an experiment in FOREX and in some matured and emerging capital markets. The adequate for investments decisions reliability assessment portfolio will be presented and analysed as main instrument for developing sustainable return investment decisions strategy. The cases of practical implementation of adequate portfolio will be widely described. Further, the pragmatical problems how to use the strategy as innovative and effective financial instrument for investors and stock treasury will be discussed. Practical calculation was made on the very last data of different markets. Santrauka The goal of the paper is development of the conception of sustainable return investment decisions strategy in capital and money markets and modeling of investment decisions along sustainable development concept in capital and money markets. The research was performed with an experiment in FOREX and in some matured and emerging capital markets. The adequate for investments decisions reliability assessment portfolio will be presented and analysed as main instrument for developing sustainable return investment decisions strategy. The cases of practical implementation of adequate portfolio will be widely described. Further, the pragmatical problems how to use the strategy as innovative and effective financial instrument for investors and stock treasury will be discussed. Practical calculation was made on the very last data of different markets.
The main objective of this paper is to present the investment decision management system in exchange and capital markets – the Double Trump model. The main problems being solved with this model are named as quantitative decision search problems. Computer-imitational methods are also analysed as the main solving means for the mathematical models viewed as stochastical programming tasks in order to reflect the problems characteristics. Attention is paid to the revealing of the analytical possibilities of the decision management system and to decision methods identification, analyzing such non-traditional problems of financial engineering as three-dimensional utility function maximization in the adequate for investment decisions reliability assessment portfolio possible set of values, searching for investment decisions profitability, reliability and riskiness commensuration concept and mathematical decisions methods. Solving of the problems named above ensures sustainable investment decisions development in capital and exchange markets.
The main goal of the article is to reveal the content of the so-called "double trump" decision management model in the global currency market and to present the possibilities and results of its practical application. This model is developed on the basis of the author's earlier proposed model of adequate investment decision evaluation portfolio; and it was experimentally implemented with the aid of a special currency rate change forecasting system. The investigation was carried out using real FOREX data for the period from 11 December to 10 October. The conceptual aim of the article is to broaden the discussion about financial market efficiency by testing market efficiency theory not through an attempt to defeat the market, but through proving market homogeneity, i.e. proving that there are always non-efficiency shoals in the market, when it is possible to elaborate a decision strategy allowing an advantage over the real market decisions over a rather long period of time. The pragmatic aim of the research is to find the possibilities and means of decision management in the currency market strategies advantageous over particular market decisions in general. Continuous development and practical use of such strategies should help in forming market intelligence.