Email this article Algorithm for constructing the efficient frontier of an investment portfolio
- Authors: Asekov A.Z.1, Shamaev A.S.1
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Affiliations:
- Institute of Applied Mechanics
- Issue: Vol 56, No 4 (2017)
- Pages: 627-635
- Section: Control in Stochastic Systems and Under Uncertainty Conditions
- URL: https://journals.rcsi.science/1064-2307/article/view/219938
- DOI: https://doi.org/10.1134/S1064230717040037
- ID: 219938
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Abstract
An algorithm for calculating the limiting (for large time values) efficient frontier of an investment portfolio with its assets given by stochastic differential equations is considered. The model also takes into account the influence of macroeconomic factors. What makes this algorithm special is that it uses only the simplest operations of linear algebra.
About the authors
A. Z. Asekov
Institute of Applied Mechanics
Author for correspondence.
Email: az.asekov@rambler.ru
Russian Federation, Moscow, 125040
A. S. Shamaev
Institute of Applied Mechanics
Email: az.asekov@rambler.ru
Russian Federation, Moscow, 125040
