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JOURNALS // Fundamentalnaya i Prikladnaya Matematika // Archive

Fundam. Prikl. Mat., 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

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.

UDC: 519.865.5

Received: 01.03.1996



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