Abstract
The problem of optimal control of a multiplicative system modeling capital investments in securities of two kinds was considered. The stock market paradox was discussed. The logarithmic and quantile strategies belonging to the class of program strategies and aimed at overcoming this paradox were compared. A distinction of the logarithmic strategy was analyzed. A new positional strategy based on the confidence method was proposed.
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Kibzun, A.I., Kuznetsov, E.A. Positional Strategy of Forming the Investment Portfolio. Automation and Remote Control 64, 138–152 (2003). https://doi.org/10.1023/A:1021832610532
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DOI: https://doi.org/10.1023/A:1021832610532