DYNAMIC OPTIMIZATION OF THE INVESTMENT PORTFOLIO MANAGEMENT TRAJECTORY
- 作者: Grineva N.V.1,2
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隶属关系:
- Financial University under the Government of the Russian Federation
- Russian Presidential Academy of National Economy and Public Administration
- 期: 卷 17, 编号 3 (2021)
- 页面: 73-77
- 栏目: Articles
- URL: https://journals.eco-vector.com/2541-8025/article/view/532167
- DOI: https://doi.org/10.33693/2541-8025-2021-17-3-73-77
- ID: 532167
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详细
The task of control from the position of mathematical tools application is discussed, economic statement and mathematical model of optimization problem are formulated, the sequential realization of the research aim - the mechanism of optimal portfolio management strategy formation - is presented. The results of dynamic optimization of decisions made at each step form the optimum law of the portfolio management. Scientific novelty of the study consists in the fact that the constructed portfolio takes into account the real incompleteness of the initial data on the processes of change in the yields of securities; there is no need to build a set of effective portfolios and indifference curves that characterize the risk appetite of investors; private characteristics are not used as the main criteria that determine the structure of the optimal portfolio of securities.
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作者简介
Natalia Grineva
Financial University under the Government of the Russian Federation; Russian Presidential Academy of National Economy and Public Administration
Email: ngrineva@fa.ru
Cand. Sci. (Econ.), Associate Professor, Associate Professor of the Department of data analysis and machine learning; Associate Professor of the Department of systems analysis and informatics Moscow, Russian Federation
参考
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- Moshkova T.A. Portfolio of dynamic strategies for investment development of complex corporate systems. Fundamental Research. 2019. № 3. С. 64-72.
- Khasanshin I.I., Savatneev A.A., Narbaev T.R. Formation and Bases of Investment Portfolio Analysis of an Enterprise Vestnik of Voronezh State University of Engineering Technologies. 2018. Т. 80. № 1 (75). С. 331-334.
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