Geodesic
On nontraditional problems of portfolio management
Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 15 (2009) no. 4, pp. 204-214
Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice du chapitre de livre

Some applications of portfolio investment theory, which goes back to papers by H. Markowitz and J. Tobin, are considered. First, problems of the dynamic control of an investment portfolio are considered in the case when the behavior of the average characteristics of returns on assets is described not by stochastic differential equations but by deterministic differential inclusions. Such a description of the uncertainty allows one to apply methods of the theory of guaranteed control and the theory of positional differential games. Second, it is shown how the theory developed initially for portfolios of of risk financial instruments (shares) can be used, after an appropriate modification, for studying objects of different nature as well. In particular, problems of constructing an effective project portfolio and effective portfolios of contractors and clients of a firm are considered.
Keywords: portfolio investments, guaranteed control, differential inclusions, effective project and contractor portfolio of a firm. 
@article{TIMM_2009_15_4_a16,
     author = {O. I. Nikonov},
     title = {On nontraditional problems of portfolio management},
     journal = {Trudy Instituta matematiki i mehaniki},
     pages = {204--214},
     year = {2009},
     volume = {15},
     number = {4},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TIMM_2009_15_4_a16/}
}
TY  - JOUR
AU  - O. I. Nikonov
TI  - On nontraditional problems of portfolio management
JO  - Trudy Instituta matematiki i mehaniki
PY  - 2009
SP  - 204
EP  - 214
VL  - 15
IS  - 4
UR  - http://geodesic.mathdoc.fr/item/TIMM_2009_15_4_a16/
LA  - ru
ID  - TIMM_2009_15_4_a16
ER  - 
%0 Journal Article
%A O. I. Nikonov
%T On nontraditional problems of portfolio management
%J Trudy Instituta matematiki i mehaniki
%D 2009
%P 204-214
%V 15
%N 4
%U http://geodesic.mathdoc.fr/item/TIMM_2009_15_4_a16/
%G ru
%F TIMM_2009_15_4_a16
O. I. Nikonov. On nontraditional problems of portfolio management. Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 15 (2009) no. 4, pp. 204-214. http://geodesic.mathdoc.fr/item/TIMM_2009_15_4_a16/

[1] Markowitz H., “Portfolio selection”, J. Finance, 7 (1952), 77–91 | DOI

[2] Tobin J., “Liquidity preference as behavior towards risk”, Rev. Economic Stud., 26 (1958), 65–86 | DOI | MR

[3] Merton R. C., “Lifetime portfolio selection under uncertainty: The continuous time case”, Rev. Econ. Stat., 51 (1969), 247–257 | DOI

[4] Mossin J., “Optimal multiperiod portfolio policies”, J. Business, 41 (1968), 215–229 | DOI

[5] Kurzhanskii A. B., Upravlenie i nablyudenie v usloviyakh neopredelennosti, Nauka, M., 1977, 392 pp. | MR | Zbl

[6] Krasovskii N. N., Subbotin A. I., Game-theoretical control problems, Springer, Berlin, 1988, 517 pp. | MR | Zbl

[7] Awerbuch S., “Portfolio-based electricity generation planning: policy implications for renewables and energy security”, Mitigation and Adaptation Strategies for Global Change, 11:3 (2006), 693–710 | DOI

[8] Nikonov O. I., Medvedeva M. A., Egiptsev D. S., “Povyshenie effektivnosti sistemy sbyta produktsii: matematicheskoe modelirovanie”, Vestn. UGTU–UPI, Ekonomika i upravlenie, 2004, no. 4, 96–103

[9] Nikonov O., “On a set-valued dynamic model of investment portfolio reconstruction”, Modeling and Control of Economic Systems, Proc. IFAC Sympos. (2001, Klagenfurt), Elsevier, New York etc., 2002, 181–186

[10] Nikonov O. I., Timofeeva G. A., “Metody teorii garantirovannogo upravleniya v zadache dinamicheskoi restrukturizatsii investitsionnogo portfelya”, Tr. In-ta matematiki i mekhaniki UrO RAN, 6, no. 2, Ekaterinburg, 2000, 460–476 | MR