On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion

DOI10.1134/S0005117920120036MaRDI QIDQ2229544zbMATH OpenOpenAlexFDO

Authors A. N. Ignatov

Publication date 18 February 2021

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117920120036

zbMATH Keywords

multistep problemportfolio optimizationpositional controlprobabilistic criterion

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• scientific article; zbMATH DE number 911786
• Optimal control of the investment portfolio with respect to the quantile criterion
• Optimal control of the portfolio
• Positional strategy of forming the investment portfolio
• On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion

Cites work

• Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
• Control optimization by the quantile criterion
• Design of optimal strategies in the problems of discrete system control by the probabilistic criterion
• Multi-period portfolio optimization with linear control policies
• On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
• On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion
• Optimal control of the investment portfolio with respect to the quantile criterion
• Optimal control of the portfolio
• Portfolio selection in stochastic markets with HARA utility functions
• Positional strategy of forming the investment portfolio
• Problems in stochastic programming with probabilistic criteria
• Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
• Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
• Stochastic optimization models in finance
• The two-step problem of investment portfolio selection from two risk assets via the probability criterion
• The uniform distribution: A rigorous justification for its use in robustness analysis

Cited in

(1)

• Comparing the solvers for the mixed integer linear programming problems and the software environments that call them

This page was built for publication: On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2229544)