The management of an investment portfolio in financial markets within the framework of an approach alternative to self-financing strategy

被引：0

作者：

Vavilov, Sergey A. ^{[1
]}

Ermolenko, Konstantin Yu. ^{[1
]}

机构：

[1] St Petersburg State Univ, Sch Management, Dept Finance Theory, St Petersburg 199004, Russia

来源：

World Congress on Engineering 2007, Vols 1 and 2 | 2007年

关键词：

portfolio management; assets trading; stochastic control methods;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

The robust feed-back control schemes to provide the sustainable growth of investor capital are introduced. These schemes are based on the current dynamics of the asset prices. It is assumed that the price of asset follows rather general stochastic differential equation. In contrast to the generally used self-financing strategy the control is realized within the framework of an open system. The latter implies the possibility to invest cash into the portfolio in the process of trading.

引用

页码：1006 / 1009

页数：4

共 9 条

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