Quantile criterion-based control of the securities portfolio with a nonzero ruin probability

Quantile criterion-based control of the securities portfolio with a nonzero ruin probability

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Article ID: iaor20132740
Volume: 74
Issue: 5
Start Page Number: 811
End Page Number: 828
Publication Date: May 2013
Journal: Automation and Remote Control
Authors: ,
Keywords: control
Abstract:

For the portfolio of investments into securities of two kinds, consideration was given to the two‐step problem of optimal control by the quantile performance criterion under the assumption that the yield is distributed with a nonzero ruin probability. The problem of quantile criterion comes to optimization of the probability functional, and the method of dynamic programming was used for analytical design of the optimal strategy.

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