每年出版 12 期
ISSN 打印: 1064-2315
ISSN 在线: 2163-9337
Indexed in
Algorithm for Solving Two-Criteria Problem of Optimal Portfolio of Risky Assets
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.
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