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Fundamentalnaya i Prikladnaya Matematika, 2001, Volume 7, Issue 2, Pages 329–337 (Mi fpm565)  
Optimal control of security portfolio

M. A. Gil'mana, E. E. Demidovb, A. G. Mikheevb

a A. Ishlinsky Institite for Problems in Mechanics, Russian Academy of Sciences
b CentreInvestSoft
Full-text PDF (354 kB)
Abstract: Finding an optimal strategy for the security portfolio during a given period is formulated as a problem of linear programming. It is shown that if the restrictions on the risk or on the buy/sale volumes are omitted then the problem is decomposed into some “one-stock” problems. This fact permits one to reduce the calculation complexity of the whole problem. Finally, for the optimization problem with the restrictions on the risk an approximate method is presented.
Received: 01.03.1996
Bibliographic databases:
UDC: 519.865.5
Language: Russian
Citation: M. A. Gil'man, E. E. Demidov, A. G. Mikheev, “Optimal control of security portfolio”, Fundam. Prikl. Mat., 7:2 (2001), 329–337
Citation in format AMSBIB
\Bibitem{GilDemMik01}
\by M.~A.~Gil'man, E.~E.~Demidov, A.~G.~Mikheev
\paper Optimal control of security portfolio
\jour Fundam. Prikl. Mat.
\yr 2001
\vol 7
\issue 2
\pages 329--337
\mathnet{http://mi.mathnet.ru/fpm565}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1866460}
\zmath{https://zbmath.org/?q=an:1015.91003}
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