Algorithm for constructing the efficient frontier of an investment portfolio

DOI10.1134/S1064230717040037zbMath1408.91189OpenAlexW2753195978MaRDI QIDQ1745856

A. Z. Asekov, Alexei S. Shamaev

Publication date: 18 April 2018

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230717040037

zbMATH Keywords

stochastic differential equationslinear algebrainvestment portfoliolimiting efficient frontiermacroeconomic factors

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Risk-sensitive dynamic asset management
• Risk sensitive asset allocation
• On the Poisson equation and diffusion approximation. I
• On the asymptotic behavior of eigenvalues and eigenfunctions of non-self-adjoint elliptic operators

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