Sibirskii Zhurnal Vychislitel'noi Matematiki
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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2001, Volume 4, Number 1, Pages 13–20 (Mi sjvm381)  
This article is cited in 2 scientific papers (total in 2 papers)

Multidimensional model of the dynamics of stock prices and the problem of constructing the investment portfolio

S. S. Artem'ev, M. A. Yakunin

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
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Abstract: We consider the multidimensional model of the dynamics of stock prices in the form of the system of stochastic differential equations. We investigate the estimates of unknown parameters in model on the basis of historical prices. We introduce the characteristics of risk and profit of the investment portfolio, whose calculating by Monte Carlo method enables us to construct the set of permissible portfolios.
Received: 25.10.1999
Revised: 12.05.2000
Bibliographic databases:
Document Type: Article
UDC: 519.865.5
Language: Russian
Citation: S. S. Artem'ev, M. A. Yakunin, “Multidimensional model of the dynamics of stock prices and the problem of constructing the investment portfolio”, Sib. Zh. Vychisl. Mat., 4:1 (2001), 13–20
Citation in format AMSBIB
\Bibitem{ArtYak01}
\by S.~S.~Artem'ev, M.~A.~Yakunin
\paper Multidimensional model of the dynamics of stock prices and the problem of constructing the investment portfolio
\jour Sib. Zh. Vychisl. Mat.
\yr 2001
\vol 4
\issue 1
\pages 13--20
\mathnet{http://mi.mathnet.ru/sjvm381}
\zmath{https://zbmath.org/?q=an:0979.91026}
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    • This publication is cited in the following 2 articles:
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