Метод определения одной интегральной характеристики для волатильностей в задаче управления инвестиционным портфелем

Вавилов С. А. and Ермоленко К. Ю.

Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, 2005, issue 1, 114-124

Abstract: The problem of controlling the investor portfolio implies the calculation of an amount and period of investments allowing the managing system to enter into the saturation regime. From the mathematical point of view, the task reduces to calculation of an integral of the square of volatility of observed prices for the asset under consideration. In contrast to the highly non-stationary behavior of the volatility itself, the dynamics of the mentioned integral characteristic turns out to be much more steady. An integral equation to define this integral characteristic was used in this paper.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:scn:003571:15006853

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