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

DOI10.1134/S0005117914030060MaRDI QIDQ463348zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 41722 (Why is no real title available?)
• An interior-point algorithm for nonconvex nonlinear programming
• Interior-point methods for nonconvex nonlinear programming: Filter methods and merit functions
• Problems in stochastic programming with probabilistic criteria

Cited in

(4)

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

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