Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets

DOI10.1023/A:1024730101068MaRDI QIDQ2487619zbMATH OpenOpenAlexFDO

Authors E. S. Gerasimov, V. V. Dombrovskii

Publication date 8 August 2005

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

Full work available at URL https://doi.org/10.1023/a:1024730101068

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Stochastic analysis (60H99)

Recommendations

• Dynamic network model of investment control for quadratic risk function
• scientific article; zbMATH DE number 1989757
• About one way of mathematical model management of investment portfolio investigation
• On nontraditional problems of portfolio management
• Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching

Cited in

(8)

• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• Adaptive investment strategies for different scenarios.
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• About one way of mathematical model management of investment portfolio investigation
• scientific article; zbMATH DE number 1989757 (Why is no real title available?)
• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
• Dynamic network model of investment control for quadratic risk function
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions

This page was built for publication: Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2487619)