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О Одном Методе Решения Задачи Оптимального Управления Портфелем Ценных Бумаг

Author

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  • Коваленко Е.В.

Abstract

В статье построены аналитические решения и предложены численные методы решения задачи Коши для параболического уравнения с полиномиальной зависимостью от пространственных переменных и произвольной зависимостью от временной переменной. На основе предложенных аналитических решений и численных алгоритмов созданы методы построения распределений различных вероятностных параметров управляемого портфеля, где активы моделируются системой стохастических дифференциальных уравнений, тренды в которой зависят от ряда макроэкономических параметров.

Suggested Citation

  • Коваленко Е.В., 2015. "О Одном Методе Решения Задачи Оптимального Управления Портфелем Ценных Бумаг," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(3), pages 94-101, июль.
    • Handle: RePEc:scn:cememm:v:51:y:2015:i:3:p:94-101
    Note: Москва
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    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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