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Avtomatika i Telemekhanika, 2013, Issue 5, Pages 114–136 (Mi at4986)  
This article is cited in 10 scientific papers (total in 10 papers)

Stochastic Systems, Queuing Systems

Quantile criterion-based control of the securities portfolio with a nonzero ruin probability

T. V. Bunto, Yu. S. Kan

Moscow State Aviation Institute, Moscow, Russia
Full-text PDF (264 kB) Citations (10)
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Abstract: For the portfolio of investments into securities of two kinds, consideration was given to the two-step problem of optimal control by the quantile performance criterion under the assumption that the yield is distributed with a nonzero ruin probability. The problem of quantile criterion comes to optimization of the probability functional, and the method of dynamic programming was used for analytical design of the optimal strategy.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 21.06.2012
English version:
Automation and Remote Control, 2013, Volume 74, Issue 5, Pages 811–828
DOI: https://doi.org/10.1134/S0005117913050068
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: T. V. Bunto, Yu. S. Kan, “Quantile criterion-based control of the securities portfolio with a nonzero ruin probability”, Avtomat. i Telemekh., 2013, no. 5, 114–136; Autom. Remote Control, 74:5 (2013), 811–828
Citation in format AMSBIB
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    • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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