The Problem on Security Portfolio Selection and Analysis of Sensitivity in Static Problems of Investment Management

Fedor G. Garashchenko; Victor R. Kulyan; Vladislava V. Rutitskaya

doi:10.1615/JAutomatInfScien.v36.i8.50

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Home > Journals > Journal of Automation and Information Sciences > Volume 36, 2004 Issue 8 > The Problem on Security Portfolio Selection and Analysis of Sensitivity in Static Problems of Investment Management

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

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v36.i8.50
pages 60-65

The Problem on Security Portfolio Selection and Analysis of Sensitivity in Static Problems of Investment Management

Fedor G. Garashchenko
Kyiv National Taras Shevchenko University, Kyiv, Ukraine

Victor R. Kulyan
Kiev National Taras Shevchenko University, Ukraine

Vladislava V. Rutitskaya
Kiev National Taras Shevchenko University, Ukraine

ABSTRACT

The static problems of investment management are considered. The sensitivity analysis is carried out and sensitivity coefficients of investment portfolio optimal weight coefficients with respect to variations of securities costs are determined.