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自动化与信息科学期刊

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ISSN 打印: 1064-2315

ISSN 在线: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

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Forming the Portfolio of Securities in View of Risk as a Problem of Parametric Optimization of Bundle of Trajectories

卷 33, 册 11, 2001, 10 pages
DOI: 10.1615/JAutomatInfScien.v33.i11.10
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摘要

The problem of construction of static portfolio of securities, whose rate of return is assumed to be random variable with values from some bounded set and the density function is either prescribed or can be estimated. The portfolio risk is considered as variance of its rate of return. Solution of problem of management of the securities portfolio is reduced to a special problem of discrete optimization of trajectories bundle. Necessary conditions of optimality for such problems are given. For construction of iterative gradient procedures, expressions for calculation of partial derivatives of performance criterion with respect to parameters of optimization are derived.

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