On approximate solution of the problem of formation of the fixed-income portfolio of securities

DOI10.1134/S000511791006010XzbMATH Open1218.93108OpenAlexW2083774128MaRDI QIDQ612079FDOQ612079

Authors: Yu. S. Kan, A. V. Sysuev 

Publication date: 3 January 2011

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

Full work available at URL: https://doi.org/10.1134/s000511791006010x

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zbMATH Keywords

optimal portfoliorandom parameterslinearization methodfixed-income portfolioquantile performance index

Mathematics Subject Classification ID

Portfolio theory (91G10) Linearizations (93B18) Optimal stochastic control (93E20)

Cites Work

• Convex Analysis
• Fundamentals of the linearization method for quantile analysis with small random parameters
• Title not available (Why is that?)

Cited In (1)

• Selection of a fixed-income portfolio

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