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Avtomatika i Telemekhanika, 2004, Issue 2, Pages 179–197 (Mi at1530)  
This article is cited in 19 scientific papers (total in 19 papers)

Optimization of Economic Systems

Optimal control of the investment portfolio with respect to the quantile criterion

V. P. Grigor'ev, Yu. S. Kan

Moscow Aviation Institute (State University of Aerospace Technologies)
Full-text PDF (253 kB) Citations (19)
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Abstract: A two-step problem is considered for the optimal portfolio investment management (control) involving two kinds of securities with respect to the quantile criterion under the assumption of the uniform distribution of the return. The problem with the quantile criterion reduces to optimization of a probability functional, and for the analytical synthesis of an optimal strategy, use is made of a method of dynamic programming. The effectiveness of the suggested strategy in comparison with other known strategies of portfolio control is illustrated by an example.
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 319–336
DOI: https://doi.org/10.1023/B:AURC.0000014729.88225.6f
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. P. Grigor'ev, Yu. S. Kan, “Optimal control of the investment portfolio with respect to the quantile criterion”, Avtomat. i Telemekh., 2004, no. 2, 179–197; Autom. Remote Control, 65:2 (2004), 319–336
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2004/i2/p179
    • This publication is cited in the following 19 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Full-text PDF :282
    References:61
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