Propozycja nowej koncepcji konstrukcji portfela inwestycyjnego na rynku kapitałowym

Better economic effects of investing in the capital market need effectively constructed and optimized portfolios. Portfolios where both returns (the maximization criterion) and risk (the minimization criterion) are optimised and particularly important for investors who are averse to risk, especially within their long-term strategies. Some bi-criteria models in portfolio theory are either not real bi-criteria solutions (Markowitz and Sharpe models) or have shortcomings. The bicriteria model presented in the article uses elements of reliability theory to construct an investment portfolio. Two variants of the portfolio are discussed. One variant is optimised with the dynamic programming method. Risk level involved in the portfolio optimized using the concept proposed by the author is lower than that obtained from traditional methods for assessing portfolio risk.