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Journal of Automation and Information Sciences
SJR: 0.232 SNIP: 0.464 CiteScore™: 0.27

ISSN 印刷: 1064-2315
ISSN オンライン: 2163-9337

巻:
巻 51, 2019 巻 50, 2018 巻 49, 2017 巻 48, 2016 巻 47, 2015 巻 46, 2014 巻 45, 2013 巻 44, 2012 巻 43, 2011 巻 42, 2010 巻 41, 2009 巻 40, 2008 巻 39, 2007 巻 38, 2006 巻 37, 2005 巻 36, 2004 巻 35, 2003 巻 34, 2002 巻 33, 2001 巻 32, 2000 巻 31, 1999 巻 30, 1998 巻 29, 1997 巻 28, 1996

Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v50.i8.20
pages 16-25

Algorithm for Solving Two-Criteria Problem of Optimal Portfolio of Risky Assets

Fedor G. Garashchenko
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Victor R. Kulian
Kiev National Taras Shevchenko University, Kiev
Valentina N. Petrovich
Kiev National Taras Shevchenko University, Kiev
Elena A. Yun'kova
Vadym Hetman Kiev National Economic University, Kiev

要約

New mathematical problems statements are formulated and constructive algorithms for solving diversification problem of risky assets portfolio are developed. The optimal portfolio diversification problem is formulated based on the models of formation dynamics of the market value of one share and the portfolio of shares. Such statement enables us, by applying the allowable and effective sets, to solve the problem of optimal portfolio diversification constructively taking into account quantitative and qualitative constraints on the portfolio structure. Algorithms of this type are often applied for designing trading robots.

参考

  1. Sharpe William F., Gordon J. Alexander, Jeffrey W. Bailey, Investments [Russian translation], Infra-M, Moscow, 1999.

  2. Garashchenko F.G., Kulian V.R., Rutitskaya V.V., Qualitative analysis of mathematical models of investment management, Kibernetika i vychislitelnaya tekhnika, 2005, No. 148, 3–10.

  3. Garashchenko F.G., Kulian V.R., Petrovich V.N., Yunkova E.A., Mezhdunarodnyi nauchno tekhnicheskiy zhurnal “Problemy upravleniya i informatiki”, 2016, No. 4, 124–136.

  4. Garashchenko F.G., Kulian V.R., Yunkova O.O., Identification of parameters of market assets dynamics, Systemni doslidzhennya i informatsiyni tekhnologii, 2015, No. 2, 72–83.


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