Tsotne Kutalia

Academic Doctor of Science

Vladimer Chavchanidze Institute of Cybernetics of the Georgian Technical University

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Utility Maximization Problem Under Binomial Model UncertaintyKutalia T., Tevzadze R. articleReports of Enlarged Sessions of the Seminar of I. Vekua Institut of Applied Mathematics, Volume 35 EnglishState Targeted Program
Portfolio Selection in Mean-Minimum Return LevelExpected Bounded First Time Passage Framework.Kutalia T.articleJournal of Mathematical Finance1.21 https://doi.org/10.4236/jmf.2019.93012EnglishState Targeted Program
Utility Maximization Problem with Uncertainty of Success ProbabilityKutalia T., Tevzadze R. articleApplications of Stochastic Processes and Mathematical Statistics to Financial Economics and Social Sciences V 2020 EnglishState Targeted Program
Bilateral Tariffs and Exchange Rate Under International CompetitionKutalia T., Tevzadze R. articleApplications of Stochastic Processes and Mathematical Statistics to Financial Economics and Social Sciences IV 2019 EnglishState Targeted Program
Portfolio Optimization with Coherent Risk MeasuresKutalia T., Lazrieva N.articleApplications of Stochastic Processes and Mathematical Statistics to Financial Economics and Social Sciences III, 2018. EnglishState Targeted Program

Extended sessions of the Ilia Vekua Institute of Applied MathematicsTbilisi, Georgia2021 Ilia Vekua Institute of Applied Mathematicsoral

The task of robust optimization of the utility function with fuzzy parameters of the binomial model is discussed.

Tbilisi Science and Innovation Festival, 2020Tbilisi, Georgia202024-25 ოქტომბერიGeorgian American UniversityUtility Maximization Problem with Uncertainty of Success Probabilityoral

The task of maximizing the utility function is considered when the probability of success in the binomial model is unknown.

https://www.gau.edu.ge/storage/app/media/uploaded-files/Conference%20Materials%202020.pdf
Tbilisi Science and Innovation Festival, 2020Tbilisi, Georgia201911 თებერვალი-15 მაისი Portfolio Selection in Mean-Minimum Return Level-Expected Bounded First Time Passage Framework.oral

the problem of portfolio optimization on three dimensions is considered. The dimensions are the average revenue, the minimum revenue level and the moment of the first achievement.

https://www.scirp.org/journal/paperinformation.aspx?paperid=93121
Tbilisi Science and Innovation Festival,, 2019Tbilisi, Georgia20198-16 სექტემბერიGeorgian American UniversityBilateral Tariffs and Exchange Rate Under International Competitionoral

The problem of finding the Nash balance point for the exchange rate of a currency in a competitive game is considered

https://www.gau.edu.ge/storage/app/media/GAU%20Research%20Books%20and%20Documents/BRC-Conference%20Materials%202019.pdf
Tbilisi Science and Innovation Festival,, 2018Tbilisi, Georgia201820-25 აგვისტოGeorgian American UniversityPortfolio Optimization with Coherent Risk Measuresoral

The task of optimizing a two-asset portfolio with agreed risk measurements is discussed. The task of optimizing portfolio yields by copulation functions according to risk is explored.

https://www.gau.edu.ge/storage/app/media/GAU%20Research%20Books%20and%20Documents/Conference%20Materials%202018.pdf

Doctoral Thesis Referee

Master Theses Supervisor

Doctoral Thesis Supervisor/Co-supervisor

Scientific editor of monographs in foreign languages

Scientific editor of a monograph in Georgian

Editor-in-Chief of a peer-reviewed or professional journal / proceedings

Review of a scientific professional journal / proceedings

Member of the editorial board of a peer-reviewed scientific or professional journal / proceedings

Participation in a project / grant funded by an international organization

Participation in a project / grant funded from the state budget

Patent authorship

Membership of the Georgian National Academy of Science or Georgian Academy of Agricultural Sciences

Membership of an international professional organization

Membership of the Conference Organizing / Program Committee

National Award / Sectoral Award, Order, Medal, etc.

Honorary title

Monograph

Handbook

Research articles in high impact factor and local Scientific Journals


Portfolio Selection in Mean-Minimum Return Level-Expected Bounded First Time Passage Framework. Journal of Mathematical Finance 2019, pp.228-238State Target Program

This paper explores the selection of optimal portfolio by replacing the standard Mean-Variance model by Mean-Minimum Return Level (MRL) framework and adding one important dimension—expectation of bounded First Passage Time (FPT) towards the MRL. To measure how much a given portfolio is exposed to risk, the new model can capture both, the amount of the largest possible loss at a certain confidence level and time to such an event occurring. The novelty of this paper is the introduction of bounded first passage time towards MRL and taking its expectation into consideration as an additional factor in portfolio selection decision making. Assuming that the asset price dynamics follow multi-dimensional Geometric Brownian Motion with drift, we obtain a portfolio wealth process for multiple assets and we evaluate the lowest possible value to which it can drop by a high confidence level. Then we extend our examination of the optimal portfolio selection by ultimately obtaining the efficient surface of risky portfolios. As a result, the paper shows that the third dimension can make a significant difference while choosing the asset weights compared to classical models ignoring the portfolio return paths as long as they achieve a desired combination of risk and return.

https://www.scirp.org/journal/paperinformation.aspx?paperid=93121

Publication in Scientific Conference Proceedings Indexed in Web of Science and Scopus