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Avtomatika i Telemekhanika, 2005, Issue 7, Pages 126–143
(Mi at1405)
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This article is cited in 5 scientific papers (total in 5 papers)
Stochastic Systems
A two-step capital variation model: optimization by different statistical criteria
B. V. Vishnyakov, A. I. Kibzun Moscow Aviation Institute
Abstract:
Minimization of the income function under a two-step capital investment in risk and safe securities is studied. Results obtained with quantile, averaged quantile, logarithmic, minimax criteria are compared. Optimal values of criteria are studied as a function of the confidence probability level. A method for choosing the admissible confidence probability level for quantile optimization is described.
Citation:
B. V. Vishnyakov, A. I. Kibzun, “A two-step capital variation model: optimization by different statistical criteria”, Avtomat. i Telemekh., 2005, no. 7, 126–143; Autom. Remote Control, 66:7 (2005), 1137–1152
Linking options:
https://www.mathnet.ru/eng/at1405 https://www.mathnet.ru/eng/at/y2005/i7/p126
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Abstract page: | 309 | Full-text PDF : | 96 | References: | 44 | First page: | 1 |
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