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Avtomatika i Telemekhanika, 2004, Issue 2, Pages 170–178 (Mi at1529)  
This article is cited in 4 scientific papers (total in 4 papers)

Optimization of Economic Systems

Portfolio replication: its forward-dual decomposition

A. S. Velichko, E. A. Nurminski

Institute for Automation and Control Processes, Far Eastern Branch of the Russian Academy of Sciences, Vladivostok
Full-text PDF (232 kB) Citations (4)
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Abstract: Replication of a portfolio of market assets under a conditional mean loss criterion is studied. This problem with a risk constraint as the conditional mean loss is studied as a structural extremal problem with binding variables and two groups of constraints. For a large number of assets and continual planning horizons, special methods based on the forward-dual decomposition algorithms are fruitful. Results of numerical experiments are given.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 28.06.2003
English version:
Automation and Remote Control, 2004, Volume 65, Issue 2, Pages 311–318
DOI: https://doi.org/10.1023/B:AURC.0000014728.52168.9a
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. S. Velichko, E. A. Nurminski, “Portfolio replication: its forward-dual decomposition”, Avtomat. i Telemekh., 2004, no. 2, 170–178; Autom. Remote Control, 65:2 (2004), 311–318
Citation in format AMSBIB
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    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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