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
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.
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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
\by M.~A.~Gil'man, E.~E.~Demidov, A.~G.~Mikheev
\paper Optimal control of security portfolio
\jour Fundam. Prikl. Mat.
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