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Contemporary Mathematics and Its Applications, 2015, Volume 95, Pages 72–76
(Mi cma7)
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A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios
A. Z. Asekova, E. V. Kovalenkob a Lomonosov Moscow State University
b Financial University under the Government of the Russian Federation, Moscow
Abstract:
In this paper, we consider the problem on assessment of risk parameters of investment portfolios consisting of assets that can be modeled by a system of stochastic differential equations. Trends of this system depend on a collection of macro-factors, which, in turn, are also modeled by a system of stochastic differential equations. The portfolio management can be constructed by using the maximum condition for risk-sensitive interest rate functional for large time. We obtain direct formulas for values of current risk parameters for the portfolio managed.
Citation:
A. Z. Asekov, E. V. Kovalenko, “A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios”, Contemporary Mathematics and Its Applications, 95 (2015), 72–76; Journal of Mathematical Sciences, 216:5 (2016), 674–678
Linking options:
https://www.mathnet.ru/eng/cma7 https://www.mathnet.ru/eng/cma/v95/p72
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Abstract page: | 84 | Full-text PDF : | 40 |
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