Optimal control of the investment portfolio with respect to the quantile criterion

Optimal control of the investment portfolio with respect to the quantile criterion

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Article ID: iaor20042471
Country: Netherlands
Volume: 65
Issue: 2
Start Page Number: 319
End Page Number: 336
Publication Date: Feb 2004
Journal: Automation and Remote Control
Authors: ,
Keywords: programming: dynamic
Abstract:

A two-step problem is considered for the optimal portfolio investment management (control) involving two kinds of securities with respect to the quantile criterion under the assumption of the uniform distribution of the return. The problem with the quantile criterion reduces to optimization of a probability functional, and for the analytical synthesis of an optimal strategy, use is made of a method of dynamic programming. The effectiveness of the suggested strategy in comparison with other known strategies of portfolio control is illustrated by an example.

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