Contemporary Mathematics and Its Applications, Tome 95 (2015), pp. 72-76
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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/
@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},
year = {2015},
volume = {95},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/CMA_2015_95_a6/}
}
TY - JOUR
AU - A. Z. Asekov
AU - E. V. Kovalenko
TI - A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios
JO - Contemporary Mathematics and Its Applications
PY - 2015
SP - 72
EP - 76
VL - 95
UR - http://geodesic.mathdoc.fr/item/CMA_2015_95_a6/
LA - ru
ID - CMA_2015_95_a6
ER -
%0 Journal Article
%A A. Z. Asekov
%A E. V. Kovalenko
%T A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios
%J Contemporary Mathematics and Its Applications
%D 2015
%P 72-76
%V 95
%U http://geodesic.mathdoc.fr/item/CMA_2015_95_a6/
%G ru
%F CMA_2015_95_a6
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.
