FUNDAMENTALNAYA
I PRIKLADNAYA MATEMATIKA

(FUNDAMENTAL AND APPLIED MATHEMATICS)

2001, VOLUME 7, NUMBER 2, PAGES 329-337

M. A. Gil'man

E. E. Demidov

A. G. Mikheev

Abstract

View as HTML
View as gif image
View as LaTeX source

```
Finding an optimal strategy for the security portfolio during
a given period is formulated as a problem of linear programming.
It is shown that if the restrictions on the risk or on the buy/sale
volumes are omitted then the problem is decomposed into
some ``one-stock'' problems. This fact permits one to reduce
the calculation complexity of the whole problem. Finally, for
the optimization problem with the restrictions on the risk
an approximate method is presented.
```

All articles are published in Russian.

Main page | Contents of the journal | News | Search |

Location: http://mech.math.msu.su/~fpm/eng/k01/k012/k01202t.htm.

Last modified: October 31, 2001.