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Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN Druckformat: 1064-2315
ISSN Online: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v33.i11.10
10 pages

Forming the Portfolio of Securities in View of Risk as a Problem of Parametric Optimization of Bundle of Trajectories

Fedor G. Garashchenko
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Andrey P. Verchenko
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Peter I. Verchenko
Kyiv National Economic University, Kyiv, Ukraine


The problem of construction of static portfolio of securities, whose rate of return is assumed to be random variable with values from some bounded set and the density function is either prescribed or can be estimated. The portfolio risk is considered as variance of its rate of return. Solution of problem of management of the securities portfolio is reduced to a special problem of discrete optimization of trajectories bundle. Necessary conditions of optimality for such problems are given. For construction of iterative gradient procedures, expressions for calculation of partial derivatives of performance criterion with respect to parameters of optimization are derived.

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