Abstract
For the investment portfolio consisting of the risk investments (ordinary shares) and no-risk investments (bank account, reliable bonds), a method of its structural description in terms of the dynamic stochastic network (with nodes representing the capital invested in the given risk or no-risk financial assets and the arcs, directions and amount of the capital reallocated between the assets in the course of controlling the portfolio) was proposed. Control of the investment portfolio was formulated as the dynamic problem of following a reference portfolio with the desired investor-defined profitability. An approach to determining the strategy of control with feedback in the quadratic criterion was proposed.
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Gerasimov, E.S., Dombrovskii, V.V. Dynamic Network Model of Investment Control for Quadratic Risk Function. Automation and Remote Control 63, 280–288 (2002). https://doi.org/10.1023/A:1014251725737
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DOI: https://doi.org/10.1023/A:1014251725737