Algorithm for constructing the efficient frontier of an investment portfolio
- Авторы: Asekov A.1, Shamaev A.1
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Учреждения:
- Institute of Applied Mechanics
- Выпуск: Том 56, № 4 (2017)
- Страницы: 627-635
- Раздел: 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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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.
Об авторах
A. Asekov
Institute of Applied Mechanics
Автор, ответственный за переписку.
Email: az.asekov@rambler.ru
Россия, Moscow, 125040
A. Shamaev
Institute of Applied Mechanics
Email: az.asekov@rambler.ru
Россия, Moscow, 125040