Algorithm for constructing the efficient frontier of an investment portfolio
- Авторлар: Asekov A.1, Shamaev A.1
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Мекемелер:
- Institute of Applied Mechanics
- Шығарылым: Том 56, № 4 (2017)
- Беттер: 627-635
- Бөлім: 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
Дәйексөз келтіру
Аннотация
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.
Авторлар туралы
A. Asekov
Institute of Applied Mechanics
Хат алмасуға жауапты Автор.
Email: az.asekov@rambler.ru
Ресей, Moscow, 125040
A. Shamaev
Institute of Applied Mechanics
Email: az.asekov@rambler.ru
Ресей, Moscow, 125040