Algorithm for constructing the efficient frontier of an investment portfolio

DOI10.1134/S1064230717040037MaRDI QIDQ1745856zbMATH OpenOpenAlexFDO

Authors A. Z. Asekov, A. S. Shamaev

Publication date 18 April 2018

Published in Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1064230717040037

zbMATH Keywords

linear algebrastochastic differential equationsinvestment portfoliolimiting efficient frontiermacroeconomic factors

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 4067970 (Why is no real title available?)
• On the Poisson equation and diffusion approximation. I
• On the asymptotic behavior of eigenvalues and eigenfunctions of non-self-adjoint elliptic operators
• Risk sensitive asset allocation
• Risk-sensitive dynamic asset management

Cited in

(2)

• scientific article; zbMATH DE number 6379404 (Why is no real title available?)
• An open-source implementation of the critical-line algorithm for portfolio optimization

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