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Bankruptcy prevention in multiperiod Markowitz optimization problemстатья
- Авторы: Soloviev Alexey I., Hongwei Gao
- Журнал: Moscow University Computational Mathematics and Cybernetics
- Номер: 2
- Год издания: 2016
- Издательство: Allerton Press Inc.
- Местоположение издательства: United States
- Аннотация: The paper deals with a multiperiod version of the Markowitz optimization problem. The proposed financial market model is discrete in time and it has a finite number of market scenarios. The authors derive an upper bound for the expected final portfolio value which does not lead to bankruptcy. The result is obtained basing on analytical form of optimal investment strategy in the original problem.
- Добавил в систему: Соловьев Алексей Игоревич