Стохастические системы управления портфелем ценных бумаг

Вавилов Сергей Анатольевич and Ермоленко Константин Юрьевич
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Вавилов Сергей Анатольевич: СПбГУ
Ермоленко Константин Юрьевич: СПбГУ

Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, 2003, issue 3 (21), 113-122

Abstract: This article introduces a robust feed-back control scheme based on the dynamics of security prices and the need to provide a stable increase in investor's capital. It is assumed that security prices can be described by general stochastic differential equations. In contrast to the selffinancing strategies which are generally in use, this model assumes that control is realized within the framework of an open system which implies that cash is «pumped» into the portfolio during the process of trading.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:scn:003571:14813104

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