Asset Allocation Models in Discrete Variable

Marius RĂDULESCU¹, Constanţa Zoie RĂDULESCU²,
Gheorghiţă ZBĂGANU^3
1 Institute of Mathematical Statistics and Applied Mathematics
Casa Academiei Romane, 13, Calea 13 Septembrie,
050711 Bucharest 5, Romania
mradulescu@csm.ro

Abstract: In the classical portfolio selection theory the value of the assets is considered infinitely divisible. In the real portfolio selection models one should consider only finitely divisible assets. This is because the investors purchase only a finite number of shares or minimum transaction lots. We present several asset allocation models in discrete variable and we make an analysis of the results. Our models are closer to reality but they are more difficult to be solved.

Keywords: portfolio selection, asset allocation, finitely divisible assets, minimum transaction lots, integer programming model.

Dr. Marius Rădulescu graduated Faculty of Mathematics in 1977. He took his Ph.D. degree in 1985 at Centre of Mathematical Statistics “Gheorghe Mihoc” in Bucharest. In 1991 he was awarded a prize of the Romanian Academy. At present he is a senior research worker at Institute of Mathematical Statistics and Applied Mathematics Gheorghe Mihoc-Caius Iacob in Bucharest. He published several books and research papers in the area: nonlinear functional analysis and its applications to boundary value problems for differential equations, real analysis, numerical analysis, optimization theory, approximation theory, mathematical modeling (operations research), portfolio theory. He is a member of the Editorial Board of Journal of Applied Sciences, Advanced Modeling and Optimization and Arhimede.

Dr. Constanţa Zoie Rădulescu graduated Faculty of Mathematics in 1977. She is a senior research worker at National Institute for Research and Development in Informatics in Bucharest. She has got a Ph.D. degree at Centre of Mathematical Statistics in Bucharest. Her scientific interests are: DSS for the management of financial investments, multicriteria decision analysis, risk analysis, mathematical modeling (operations research).

Prof. dr. Gheorghiţă Zbăganu graduated Faculty of Mathematics in 1975. He took his Ph.D. degree in 1986 at Centre of Mathematical Statistics “Gheorghe Mihoc” in Bucharest. In 1999 he was awarded a prize of the Romanian Academy. At present he is a senior research worker at Institute of Mathematical Statistics and Applied Mathematics Gheorghe Mihoc – Caius Iacob in Bucharest and a professor at the Faculty of Mathematics and Computer Science, University of Bucharest He has published several books and research papers in the area: probability theory, ruin theory, actuarial science, information theory, combinatorics, optimization theory, functional analysis.

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CITE THIS PAPER AS:
Marius RĂDULESCU, Constanţa Zoie RĂDULESCU, Gheorghiţă ZBĂGANU, Asset Allocation Models in Discrete Variable, Studies in Informatics and Control, ISSN 1220-1766, vol. 18 (1), pp. 63-70, 2009.