Abstract:

There are many financial investment instruments that individual investors use today to assess their savings. The leading of these are the stock exchange, dollar, euro, gold, deposit accounts and the popularity of the recent years is increasing virtual money. The future is full of uncertainty and it is an important question on which of the investment alternatives to be invested. The choice of the best of the alternatives can be combated by uncertainty if the process is based on past data and statistics. This investment problem has been studied in the framework of the Game Theory, Portfolio Theory and Minimax Portfolio Theory. The study divided the annual data of alternative investment instruments into 4 separate investment periods and calculated the revenue by addressing the past data for the years 2012-2018. The game theory approach for each period has a personality, played against nature, modeled a total of 0 games. Optimal portfolios using the correct programming model are created with the help of the Excel solution. The expected returns are calculated using the weights of assets in portfolios. According to Markowitz's average Varyans model, the risk of portfolios is calculated, taking into account the quarries of assets. The relative performance of the portfolios obtained was assessed using the Sharpe ratio and the Change Rate criteria. The model created as a result could provide a useful and efficient approach as an alternative model for investment decisions and portfolio selection issues.