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Fundamentalnaya i Prikladnaya Matematika, 2001, Volume 7, Issue 2, Pages 329–337
(Mi fpm565)
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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
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
Citation:
M. A. Gil'man, E. E. Demidov, A. G. Mikheev, “Optimal control of security portfolio”, Fundam. Prikl. Mat., 7:2 (2001), 329–337
Linking options:
https://www.mathnet.ru/eng/fpm565 https://www.mathnet.ru/eng/fpm/v7/i2/p329
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Abstract page: | 587 | Full-text PDF : | 263 | First page: | 2 |
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