Quantile criterion-based control of the securities portfolio with a nonzero ruin probability

被引：6
|
作者：
Bunto, T. V. [1 ]
Kan, Yu. S. [1 ]
机构：
[1] Moscow State Aviat Inst, Moscow, Russia
来源：
AUTOMATION AND REMOTE CONTROL | 2013年 / 74卷 / 05期
基金：
俄罗斯基础研究基金会;
关键词：
OPTIMIZATION;
D O I：
10.1134/S0005117913050068
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
For the portfolio of investments into securities of two kinds, consideration was given to the two-step problem of optimal control by the quantile performance criterion under the assumption that the yield is distributed with a nonzero ruin probability. The problem of quantile criterion comes to optimization of the probability functional, and the method of dynamic programming was used for analytical design of the optimal strategy.
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页码：811 / 828
页数：18
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