Models and numerical methods of dynamic optimization of the financial portfolio of a non-institutional investor
The formulation, the economic-mathematical model and the numerical algorithm for solving the problem of dynamic optimization of the portfolio of financial assets of a non-institutional investor-agent of the Russian stock market are presented on a sequence of time intervals. It is proposed to expand...
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| Format: | Article |
| Language: | Russian |
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Russian Academy of Entrepreneurship
2020-01-01
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| Series: | Путеводитель предпринимателя |
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| Online Access: | https://www.pp-mag.ru/jour/article/view/97 |
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| author | D. A. Bystrova |
| author_facet | D. A. Bystrova |
| author_sort | D. A. Bystrova |
| collection | DOAJ |
| description | The formulation, the economic-mathematical model and the numerical algorithm for solving the problem of dynamic optimization of the portfolio of financial assets of a non-institutional investor-agent of the Russian stock market are presented on a sequence of time intervals. It is proposed to expand the set of factors taken into account in the model at the expense of additional factors that characterize the institutional features of the stock market, including high volatility of financial assets and discreteness of traded lots of securities. The structure and element filling of the dynamic model and the static model of optimal management of the financial portfolio at the current time interval are described. An original numerical method for solving a discrete dynamic problem of large dimension is presented, based on a purposeful search of the basic solutions of the corresponding continuous problem and subsequent local optimization of its quasi-optimal solution. |
| format | Article |
| id | doaj-art-ef4408ea8c0e4e23a5b80cd01d565ae8 |
| institution | DOAJ |
| issn | 2073-9885 2687-136X |
| language | Russian |
| publishDate | 2020-01-01 |
| publisher | Russian Academy of Entrepreneurship |
| record_format | Article |
| series | Путеводитель предпринимателя |
| spelling | doaj-art-ef4408ea8c0e4e23a5b80cd01d565ae82025-08-20T03:19:17ZrusRussian Academy of EntrepreneurshipПутеводитель предпринимателя2073-98852687-136X2020-01-01036506496Models and numerical methods of dynamic optimization of the financial portfolio of a non-institutional investorD. A. Bystrova0Plekhanov Russian University of EconomicsThe formulation, the economic-mathematical model and the numerical algorithm for solving the problem of dynamic optimization of the portfolio of financial assets of a non-institutional investor-agent of the Russian stock market are presented on a sequence of time intervals. It is proposed to expand the set of factors taken into account in the model at the expense of additional factors that characterize the institutional features of the stock market, including high volatility of financial assets and discreteness of traded lots of securities. The structure and element filling of the dynamic model and the static model of optimal management of the financial portfolio at the current time interval are described. An original numerical method for solving a discrete dynamic problem of large dimension is presented, based on a purposeful search of the basic solutions of the corresponding continuous problem and subsequent local optimization of its quasi-optimal solution.https://www.pp-mag.ru/jour/article/view/97russian stock marketnon-institutional investorfinancial portfoliocriteria and limitations of the portfolio investment modeldynamic optimization of the financial portfoliodynamic programminglinear and nonlinear programmingdiscrete optimization |
| spellingShingle | D. A. Bystrova Models and numerical methods of dynamic optimization of the financial portfolio of a non-institutional investor Путеводитель предпринимателя russian stock market non-institutional investor financial portfolio criteria and limitations of the portfolio investment model dynamic optimization of the financial portfolio dynamic programming linear and nonlinear programming discrete optimization |
| title | Models and numerical methods of dynamic optimization of the financial portfolio of a non-institutional investor |
| title_full | Models and numerical methods of dynamic optimization of the financial portfolio of a non-institutional investor |
| title_fullStr | Models and numerical methods of dynamic optimization of the financial portfolio of a non-institutional investor |
| title_full_unstemmed | Models and numerical methods of dynamic optimization of the financial portfolio of a non-institutional investor |
| title_short | Models and numerical methods of dynamic optimization of the financial portfolio of a non-institutional investor |
| title_sort | models and numerical methods of dynamic optimization of the financial portfolio of a non institutional investor |
| topic | russian stock market non-institutional investor financial portfolio criteria and limitations of the portfolio investment model dynamic optimization of the financial portfolio dynamic programming linear and nonlinear programming discrete optimization |
| url | https://www.pp-mag.ru/jour/article/view/97 |
| work_keys_str_mv | AT dabystrova modelsandnumericalmethodsofdynamicoptimizationofthefinancialportfolioofanoninstitutionalinvestor |