RT Journal Article ID 2dfdb3b71ad7e4c2 A1 Garashchenko, Fedor G. A1 Verchenko, Andrey P. A1 Verchenko, Peter I. T1 Forming the Portfolio of Securities in View of Risk as a Problem of Parametric Optimization of Bundle of Trajectories JF Journal of Automation and Information Sciences JO JAI(S) YR 2001 FD 2001-11-01 VO 33 IS 11 OP 10 AB 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. PB Begell House LK https://www.dl.begellhouse.com/journals/2b6239406278e43e,768a4cda2ebd8234,2dfdb3b71ad7e4c2.html