Algorithm for constructing the efficient frontier of an investment portfolio
- 作者: Asekov A.1, Shamaev A.1
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隶属关系:
- Institute of Applied Mechanics
- 期: 卷 56, 编号 4 (2017)
- 页面: 627-635
- 栏目: 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
如何引用文章
详细
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.
作者简介
A. Asekov
Institute of Applied Mechanics
编辑信件的主要联系方式.
Email: az.asekov@rambler.ru
俄罗斯联邦, Moscow, 125040
A. Shamaev
Institute of Applied Mechanics
Email: az.asekov@rambler.ru
俄罗斯联邦, Moscow, 125040