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Обобщенная Задача Стохастического Управления Инвестиционным Портфелем

Author

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  • Вавилов Сергей Анатольевич

    (СПбГУ)

  • Ермоленко Константин Юрьевич

    (СПбГУ)

Abstract

The problem of control of an investment portfolio including an arbitrary number of different types of securities and cash under the assumption that prices follow the stochastic process is under consideration in the paper. The presence of the multiplicative effect is theoretically proved and experimentally confirmed. This phenomenon can be explained by higher profits in comparison with those gained from independently controllable portfolios each containing only one definite type of securities. Possible risks and the effective method of risk management are discussed.

Suggested Citation

  • Вавилов Сергей Анатольевич & Ермоленко Константин Юрьевич, 2007. "Обобщенная Задача Стохастического Управления Инвестиционным Портфелем," Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, CyberLeninka;Федеральное государственное бюджетное образовательное учреждение высшего образования «Санкт-Петербургский государственный университет», issue 3, pages 36-46.
    • Handle: RePEc:scn:003571:14975862
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