Investment portfolio decision support system

Viktorija Stasytytė

Doctoral dissertation

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Social sciences, economics (04S)

Since the origins of modern investment portfolio theory it has gained a great importance among various scientists, investigating the investment management field and among the practicians who would like to detect favourable opportunities for investment. Researches of various directions had begun in order to improve this theory and detect the adequate of probability distribution for description of return possibilities. The risk (riskness) concept has been intensively analysed searching for the most suitable measure of risk applicable for investment portfolio. A notion has been developed that portfolio optimization should be multiobjective. A particular problem has been arisen – how to commensurate investment return and reliability with regard to investor. Unfortunately, till this time only fragmented research has been made of similar nature. Thus there appears a need to develop a decision support system for capital markets to implement the mentioned objective, which would systemically consider the processes taking place in capital market in terms of its concept and technical characteristics.

The object of research is the decision support system, allowing to make investment decisions in capital market with regard to their reliability.

The research objective is to develop the investment portfolio decision support system, applying and developing the principles of adequate investment portfolio model, which is capable of forming efficient investment strategies in capital market, and implement it in practise in the selected stock markets.

The scientific work consists of the introduction, three chapters, general conclusions, list of literature, list of author’s publications and annexes.

The first chapter of the dissertation analyses main theoretical notions of investment into capital market, which constitute a base for further research. The second chapter is intended to describe the investment portfolio decision support system, developed by the author. The prerequisites of system creation were analysed and the proposed system was compared with already existing models and systems, helping to make investment decisions in capital markets. The third chapter is aimed at presenting the implementation of the decision support system developed, the practical experiment in selected capital markets with historical data, monitoring and real-time portfolio management has been described.

The results of the research have been published in 20 scientific publications, two of which in scientific journals included in Thomson ISI Web of Science database, 4 included in Thomson ISI Proceedings database, 3 in journals cited in other scientific databases, 6 in proceedings of international conferences and 5 in other editions. There were 10 presentations made in international scientific conferences.

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160×230 mm
164 p.
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