FUNDAMENTALNAYA I PRIKLADNAYA MATEMATIKA

(FUNDAMENTAL AND APPLIED MATHEMATICS)

2001, VOLUME 7, NUMBER 2, PAGES 329-337

Optimal control of security portfolio

M. A. Gil'man
E. E. Demidov
A. G. Mikheev

Abstract

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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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Last modified: October 31, 2001.