Geodesic
Game-theoretic model for diversification of multi-period investments under uncertainty over time
Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika, no. 3 (2019), pp. 64-73 Cet article a éte moissonné depuis la source Math-Net.Ru

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The article proposes a solution to the problem of investment allocation on a set of multi-period investment projects in the conditions of possible stop of any project in any indefinite period of time. The relevance of the problem is due to the practical demand in the formal methods of justification of diversification of investments in these conditions and the weak development of such methods. The basis for the formulation and solution of the problem is its representation by the antagonistic game model and a meaningful interpretation of the game solution in relation to the problem of investment distribution. Conducted specifying the relevant game-theoretic models of tasks, one of which as a target of the investor is used the achieved level of capitalization, the other with losses in market capitalization. The application of specified models is illustrated by the example of solving the test problem of investment diversification on a set of hypothetical multi-period investment projects. The stability of investment diversification obtained according to the proposed approach to changes in the time of stopping the implementation of the analyzed projects is shown. The strict validity of the optimality of the resulting diversification and its sustainability emphasize the feasibility of using the proposed approach in practice.
Keywords: multi-period investment project, multi-period investment portfolio, winning function, capitalization level, antagonistic game model, time uncertainty.
Mots-clés : diversification 
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     title = {Game-theoretic model for diversification of multi-period investments under uncertainty over time},
     journal = {Vestnik Tverskogo gosudarstvennogo universiteta. Seri\^a Prikladna\^a matematika},
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V. N. Mikhno; G. A. Mikhno; T. Iu. Ivanova. Game-theoretic model for diversification of multi-period investments under uncertainty over time. Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika, no. 3 (2019), pp. 64-73. http://geodesic.mathdoc.fr/item/VTPMK_2019_3_a4/

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