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ON ONE METHOD OF SOLVING THE PROBLEM OF OPTIMAL SECURITIES PORTFOLIO MANAGEMENT
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ON ONE METHOD OF SOLVING THE PROBLEM OF OPTIMAL SECURITIES PORTFOLIO MANAGEMENT
Annotation
PII
S042473880000616-6-1
Publication type
Article
Status
Published
Authors
Evgeny Kovalenko 
Edition
Volume 51 Issue 3
Pages
94-101
Abstract

Analytical solutions for the Cauchy problem were constructed and numerical methods were proposed in the article. The results apply to the Cauchy problem for a parabolic equation with polynomial dependence on spatial variables and with arbitrary dependence on time variable. On the basis of the proposed analytical solutions and numerical algorithms, methods of construction of various probabilistic parameters were created for the controlled portfolio, which has assets modeled by a system of stochastic differential equations with trends depending on a number of macroeconomic parameters.

Keywords
Cauchy problem, stochastic differential equation, income functional, optimal control, controlled portfolio
Date of publication
01.07.2015
Number of purchasers
1
Views
831
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0.0 (0 votes)
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References



Additional sources and materials

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Nagai H. (1996). Bellman Equations of Risk-Sensitive Control // SIAM J. Control and Optimization. Vol. 34. R. 74–101.

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