Geodesic
A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios
Contemporary Mathematics and Its Applications, Tome 95 (2015), pp. 72-76

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In this paper, we consider the problem on assessment of risk parameters of investment portfolios consisting of assets that can be modeled by a system of stochastic differential equations. Trends of this system depend on a collection of macro-factors, which, in turn, are also modeled by a system of stochastic differential equations. The portfolio management can be constructed by using the maximum condition for risk-sensitive interest rate functional for large time. We obtain direct formulas for values of current risk parameters for the portfolio managed. 
@article{CMA_2015_95_a6,
     author = {A. Z. Asekov and E. V. Kovalenko},
     title = {A method for solution of the {Cauchy} problem with polynomial coefficients and some applications to problems on management of investment portfolios},
     journal = {Contemporary Mathematics and Its Applications},
     pages = {72--76},
     publisher = {mathdoc},
     volume = {95},
     year = {2015},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/CMA_2015_95_a6/}
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A. Z. Asekov; E. V. Kovalenko. A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios. Contemporary Mathematics and Its Applications, Tome 95 (2015), pp. 72-76. http://geodesic.mathdoc.fr/item/CMA_2015_95_a6/