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Avtomatika i Telemekhanika, 2010, Issue 6, Pages 130–141 (Mi at835)  
Control in Social Economic Systems

On approximate solution of the problem of formation of the fixed-income portfolio of securities

Yu. S. Kan, A. V. Sysuev

Moscow Aviation Institute
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Abstract: Consideration was given to optimization of a fixed-income portfolio of securities in terms of the quantile performance index. Solution employed the linearization method based on the expression of the portfolio income linearized in random parameters. Analytical expressions for approximate determination of the optimal portfolio were proposed, and the error of approximation in the value of criterion was estimated.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 24.02.2009
English version:
Automation and Remote Control, 2010, Volume 71, Issue 6, Pages 1094–1104
DOI: https://doi.org/10.1134/S000511791006010X
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: Yu. S. Kan, A. V. Sysuev, “On approximate solution of the problem of formation of the fixed-income portfolio of securities”, Avtomat. i Telemekh., 2010, no. 6, 130–141; Autom. Remote Control, 71:6 (2010), 1094–1104
Citation in format AMSBIB
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