On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component

DOI10.1134/S0005117914030060zbMATH Open1297.91132OpenAlexW1969181750MaRDI QIDQ463348FDOQ463348

Authors: A. N. Ignatov, A. I. Kibzun 

Publication date: 16 October 2014

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

Full work available at URL: https://doi.org/10.1134/s0005117914030060

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Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Problems in stochastic programming with probabilistic criteria
• An interior-point algorithm for nonconvex nonlinear programming
• Interior-point methods for nonconvex nonlinear programming: Filter methods and merit functions

Cited In (3)

• On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion
• The two-step problem of investment portfolio selection from two risk assets via the probability criterion
• Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming

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