On approximate solution of the problem of formation of the fixed-income portfolio of securities

被引：0
|
作者：
Yu. S. Kan
A. V. Sysuev
机构：
[1] Moscow State Aviation Institute,
来源：
Automation and Remote Control | 2010年 / 71卷
关键词：
Remote Control; Loss Function; Optimal Portfolio; Portfolio Selection; Random Parameter;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Consideration was given to optimization of a fixed-income portfolio of securities in terms of the quantile performance index. Solution employed the linearization method based on the expression of the portfolio income linearized in random parameters. Analytical expressions for approximate determination of the optimal portfolio were proposed, and the error of approximation in the value of criterion was estimated.
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页码：1094 / 1104
页数：10
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