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Avtomatika i Telemekhanika, 2006, Issue 4, Pages 97–104 (Mi at1167)  
This article is cited in 5 scientific papers (total in 5 papers)

Stochastic Systems

Selection of a fixed-income portfolio

Yu. S. Kan, A. N. Krasnopol'skaya

Moscow Aviation Institute
Full-text PDF (215 kB) Citations (5)
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Abstract: A nonlinear programming problem in the space of two scalar parameters is applied to approximate the problem of optimization of a fixed-income portfolio by the quantile quality criterion. Since such securities have limited maturity time, portfolio is formed through reinvestment of the avails obtained upon maturity of securities. A quantile criterion is applied to determine the investment risk due to the uncertainty in future reinvestment. The geometry of the set of admissible values of parameters is studied and an explicit algebraic expression is derived for the optimum of the aim function in the nonlinear programming problem.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 22.12.2005
English version:
Automation and Remote Control, 2006, Volume 67, Issue 4, Pages 598–605
DOI: https://doi.org/10.1134/S0005117906040072
Bibliographic databases:
Document Type: Article
PACS: 02.50.Fz
Language: Russian
Citation: Yu. S. Kan, A. N. Krasnopol'skaya, “Selection of a fixed-income portfolio”, Avtomat. i Telemekh., 2006, no. 4, 97–104; Autom. Remote Control, 67:4 (2006), 598–605
Citation in format AMSBIB
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\by Yu.~S.~Kan, A.~N.~Krasnopol'skaya
\paper Selection of a~fixed-income portfolio
\jour Avtomat. i Telemekh.
\yr 2006
\issue 4
\pages 97--104
\mathnet{http://mi.mathnet.ru/at1167}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2223203}
\zmath{https://zbmath.org/?q=an:1126.91371}
\transl
\jour Autom. Remote Control
\yr 2006
\vol 67
\issue 4
\pages 598--605
\crossref{https://doi.org/10.1134/S0005117906040072}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-33646198376}
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    • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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