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

DOI10.1134/S0005117914030060zbMath1297.91132OpenAlexW1969181750MaRDI QIDQ463348

A. I. Kibzun, A. N. Ignatov

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)

Related Items (3)

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

Cites Work

• An interior-point algorithm for nonconvex nonlinear programming
• Interior-point methods for nonconvex nonlinear programming: Filter methods and merit functions
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