Dynamic managing investment portfolio in state space using market model
The problem of dynamic managing an investment portfolio of risk (ordinary shares) and risk free (bank account,reliable bonds) investments is considered. Management of the investment portfolio is formulated as a dynamic tracking problemin state space representation on quadratic criteria. The yields of risk financial investments are described by single factor marketmodel. Equations for optimal management strategy were received. Results of numerical modeling were presented.
Download file
Counter downloads: 349
Keywords
Authors
| Name | Organization | |
| Dombrovskiy V. V. | Tomsk State University | dombrovs@ef.tsu.ru |
| Dombrovskiy D. V. | Tomsk State University | dombrovs@ef.tsu.ru |
References
Markowitz H.M. Portfolio selection // J. of Finance. 1952. V. 7. No. 1. P. 77-91.
Tobin J. Liquidity preference as behavior towards risk // Review of Economic Studies. 1958. V. 26. No. 1. P. 65-86.
Young M. R. A minimax portfolio selection rule with linear programming solution // Management Science. 1998. V.44. No. 5. P. 673-683.
Golub B., Holmer M., McKendall R., et al. A stochastic programming model for money management // European Journal of Operational Research. 1995. V.85. P. 282-296.
Dupacova J. Portfolio optimization via stochastic programming: Methods of output analysis // Mathematical Methods of Operational Research. 1999. V.50. P. 245-270.
Zenios S. A. High-performance computing in finance: the last 10 years and the next // Paraller Computing. 1999. V.25. P. 2149-2175.
Merton R. C. Continuous-time finance. Cambr. Ma. Blackwell, 1990.
Kushner H. J. Consistency issues for numerical methods for variance control with applications to optimization in finance // IEEE Transaction on Automatic Control. 1999. V.44. No. 12. P. 2283-2296.
Bielecki T.R., Pliska S.R. Risk-sensitive dynamic asset management // Applied Mathematics and Optimization. 1999. No. 39. P. 337-360.
Runggaldier W.J. On stochastic control in finance. Mathematical Systems Theory in Biology, Communication, Computation and Finance / Eds. D. Gilliam and J. Rosental. IMA Book Series (MTNS-2002). Springer Verlag, 2002.
Dombrovsky V.V., Gerasimov E.S. Dynamic network model of control investment portfolio in continuous time // Proceeding of 5th Russian- Korean Symposium on Science and Technology (KORUS-2001). Tomsk, 2001. P. 304-308.
Герасимов Е.С., Домбровский В.В. Динамическая сетевая модель управления инвестициями при квадратичной функции риска // Автоматика и телемеханика. 2002. № 2. C. 119-127.
Dombrovsky V.V., Fedosov E.N. State space model of portfolio selection in non-stationary jump-diffusion market // Automatic Control and Computer Sciences. 2002. V. 36. No. 6. P.13-24.
Шарп У., Александер Г., Бейли Дж. Инвестиции. М.: ИНФРА-М, 1997.
Athans M. The matrix minimum principle // Information and Control. 1968. V.11. P.592-606.
