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自动化与信息科学期刊

每年出版 12 

ISSN 打印: 1064-2315

ISSN 在线: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

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

卷 50, 册 8, 2018, pp. 16-25
DOI: 10.1615/JAutomatInfScien.v50.i8.20
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摘要

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.

参考文献
  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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