Про двокритеріальну оптимізацію портфеля акцій

• Дата: 2017
• Автори: Garashchenko, Fedir G., Kulyan, Victor R., Iunkova, Olena O.
• Формат: Стаття
• Мова: Українська
• Опубліковано: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2017
• Теми: математична модель; допустима множина; ефективна множина; диверсифікація інвестиційного портфеля
• Онлайн доступ: http://journal.iasa.kpi.ua/article/view/117179
• Назва журналу: System research and information technologies

This scientific research is devoted to developing the new and known application of mathematical modeling for solving the problem of optimal investment in risky securities. The objectives for new problems are formulated and trajectory modeling methods are constructed for the market value dynamics of a single share and the whole stock portfolio. While solving the problem of modeling the optimal trajectory of the portfolio of shares, methods of optimal system control were utilized in which the fractions of different kinds of shares in the portfolio were used as the control parameters. The problems for the optimal control dynamics of the investment portfolio are formulated for quality criteria, one of which uses "a soft path" and the second - a deviation from the estimated trajectory of the terminal value. Thus, the first part of the work is devoted to solving the problem of constructing the optimal expected market value of the portfolio shares. The second part deals with the problem of optimizing the portfolio based on risk. To solve it, the admissible and effective sets of investment portfolios are applied. The algorithm for solving the problem allows to dynamically take into account the instrumental market constraints that are formulated in the mathematical formulation of the problem.