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Automation and Remote Control

, Volume 62, Issue 9, pp 1489–1501 | Cite as

Optimal Control of the Portfolio

  • A. I. Kibzun
  • E. A. Kuznetsov
Article

Abstract

Consideration was given to the optimal control of the bilinear system describing the investments in securities of two kinds. The exchange paradox caused by an unsuccessful choice of the optimality criterion in the form of mean income was discussed. One way around this problem is to use the value of the capital guaranteed with a given probability as the optimality criterion. To handle the arising problem, a new strategy of building the portfolio of securities on the basis of the confidence method and sampling of the probabilistic measure was proposed. Its efficiency as compared with the risk and logarithmic strategies was estimated by way of a model example.

Keywords

Income Mechanical Engineer Probabilistic Measure System Theory Optimality Criterion 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© MAIK “Nauka/Interperiodica” 2001

Authors and Affiliations

  • A. I. Kibzun
    • 1
  • E. A. Kuznetsov
    • 1
  1. 1.Moscow State Aviation InstituteMoscowRussia

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