Geodesic
Multidimensional model of the dynamics of stock prices and the problem of constructing the investment portfolio
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 4 (2001) no. 1, pp. 13-20

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We consider the multidimensional model of the dynamics of stock prices in the form of the system of stochastic differential equations. We investigate the estimates of unknown parameters in model on the basis of historical prices. We introduce the characteristics of risk and profit of the investment portfolio, whose calculating by Monte Carlo method enables us to construct the set of permissible portfolios. 
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     author = {S. S. Artem'ev and M. A. Yakunin},
     title = {Multidimensional model of the dynamics of stock prices and the problem of constructing the investment portfolio},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
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     language = {ru},
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S. S. Artem'ev; M. A. Yakunin. Multidimensional model of the dynamics of stock prices and the problem of constructing the investment portfolio. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 4 (2001) no. 1, pp. 13-20. http://geodesic.mathdoc.fr/item/SJVM_2001_4_1_a1/