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Портал Begell Электронная Бибилиотека e-Книги Журналы Справочники и Сборники статей Коллекции
Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN Печать: 1064-2315
ISSN Онлайн: 2163-9337

Выпуски:
Том 52, 2020 Том 51, 2019 Том 50, 2018 Том 49, 2017 Том 48, 2016 Том 47, 2015 Том 46, 2014 Том 45, 2013 Том 44, 2012 Том 43, 2011 Том 42, 2010 Том 41, 2009 Том 40, 2008 Том 39, 2007 Том 38, 2006 Том 37, 2005 Том 36, 2004 Том 35, 2003 Том 34, 2002 Том 33, 2001 Том 32, 2000 Том 31, 1999 Том 30, 1998 Том 29, 1997 Том 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

Краткое описание

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.

ЛИТЕРАТУРА

  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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