The generalized problem of stochastic control of an investment portfolio

Authors

  • Сергей Анатольевич Вавилов St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0002-6224-5279
  • Константин Юрьевич Ермоленко St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

Abstract

The problem of control of an investment portfolio including an arbitrary number of different types of securities and cash under the assumption that prices follow the stochastic process is under consideration in the paper. The presence of the multiplicative effect is theoretically proved and experimentally confirmed. This phenomenon can be explained by higher profits in comparison with those gained from independently controllable portfolios each containing only one definite type of securities. Possible risks and the effective method of risk management are discussed.

Keywords:

stochastic control

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Author Biographies

Сергей Анатольевич Вавилов, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

доктор физико-математических наук, профессор

Константин Юрьевич Ермоленко, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

кандидат экономических наук, старший преподаватель

References

Литература на русском языке

Бокс Дж., Дженкинс Г. Анализ временных рядов: прогноз и управление. М., 1972.

Вавилов С. А., Ермоленко К. Ю. Метод определения одной интегральной характеристики для волатильностей в задаче управления инвестиционным портфелем // Вестн. С.-Петерб. ун-та. Сер. 5: Экономика. 2005. Вып. 1. С. 114–124.

Вавилов С. А., Ермоленко К. Ю. Стохастические системы управления портфелем ценных бумаг // Вестн. С.-Петерб. ун-та. Сер. 5: Экономика. 2003. Вып. 3. С. 113–122.

Гнеденко Б. В. Курс теории вероятностей. М., 1969. С. 341.


References in Latin Alphabet

Vavilov S. A. On the probability models to control the investor portfolio. In the book: Asymptotic methods in probability and statistics with applications. Boston; Basel; Berlin, 2001. P. 535–546.


Translation of references in Russian into English

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Published

2007-09-28

How to Cite

Вавилов, С. А., & Ермоленко, К. Ю. (2007). The generalized problem of stochastic control of an investment portfolio. St Petersburg University Journal of Economic Studies, (3), 036–046. Retrieved from https://economicsjournal.spbu.ru/article/view/3822

Issue

No. 3 (2007)

Section

Stochastic models of decision making

License

Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.