Dynamic portfolio optimization with expected value-variance criteria

被引：0

作者：

Magiera, P ^{[1
]}

Karbowski, A ^{[1
]}

机构：

[1] Warsaw Univ Technol, Inst Control & Computat Engn, PL-00665 Warsaw, Poland

来源：

LARGE SCALE SYSTEMS: THEORY AND APPLICATIONS 2001 (LSS'01) | 2001年

关键词：

dynamic programming; linear programming; multiobjective optimizations; analysis of variance; risk; mean value analysis;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In the paper, a problem of dynamic optimal portfolio selection is considered. We examine an approach with two criteria: expected value and variance. The main difficulty is of that the variance criterion is not separable in time, even for the cost (benefit) function of Bolza type. Two methods of determining optimal control with expected value-variance criteria are tested: method based on the Lagrange function (finite time horizon) and method based on the linear programming (infinite time horizon). These methods were applied to a problem of investing in assets at the main market of the Warsaw stock-exchange. Copyright (C) 2001 IFAC.

引用

页码：295 / 300

页数：6