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: | Bunto T, Kan Yu |
Keywords: | control |
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.