Geodesic
Optimal control of security portfolio
Fundamentalʹnaâ i prikladnaâ matematika, Tome 7 (2001) no. 2, pp. 329-337

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Finding an optimal strategy for the security portfolio during a given period is formulated as a problem of linear programming. It is shown that if the restrictions on the risk or on the buy/sale volumes are omitted then the problem is decomposed into some “one-stock” problems. This fact permits one to reduce the calculation complexity of the whole problem. Finally, for the optimization problem with the restrictions on the risk an approximate method is presented. 
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     author = {M. A. Gil'man and E. E. Demidov and A. G. Mikheev},
     title = {Optimal control of security portfolio},
     journal = {Fundamentalʹna\^a i prikladna\^a matematika},
     pages = {329--337},
     publisher = {mathdoc},
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     number = {2},
     year = {2001},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/FPM_2001_7_2_a1/}
}
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M. A. Gil'man; E. E. Demidov; A. G. Mikheev. Optimal control of security portfolio. Fundamentalʹnaâ i prikladnaâ matematika, Tome 7 (2001) no. 2, pp. 329-337. http://geodesic.mathdoc.fr/item/FPM_2001_7_2_a1/