Abstract
A two-step problem is considered for the optimal portfolio investment management (control) involving two kinds of securities with respect to the quantile criterion under the assumption of the uniform distribution of the return. The problem with the quantile criterion reduces to optimization of a probability functional, and for the analytical synthesis of an optimal strategy, use is made of a method of dynamic programming. The effectiveness of the suggested strategy in comparison with other known strategies of portfolio control is illustrated by an example.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
REFERENCES
Dupacova, J., Portfolio Optimization via Stochastic Programming: Method of Output Analysis, Math.Meth.Oper, Res., 1999, vol. 50, pp. 245-247.
Kataoka, S., On a Stochastic Programming Model, Econometrica, 1963, vol. 31, pp. 181-196.
Kibzun, A.I. and Kuznetsov, E.A., Optimal Control of the Investment Portfolio, Avtom.Telemekh., 2000, no. 9, pp. 101-113.
Kubzun, A.I. and Kan. Yu.S, Stochastic Programming Problems with Probability and Quantile Functions, Chichester: Wiley, 1996.
Malyshev, V.V. and Kibzun, A.I., Analiz i sintez vysokotochnogo upravleniya letatel'nymi apparatami (Analysis and Synthesis of High-Precision Control of Flying Vehicles), Moscow: Mashionostroenie, 1987.
Kan, Yu.S., Optimization of Control with Respect to the Quantile Criterion, Avtom.Telemekh., 2001, no. 5, pp. 77-88.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Grigor'ev, P.V., Kan, Y.S. Optimal Control of the Investment Portfolio with Respect to the Quantile Criterion. Automation and Remote Control 65, 319–336 (2004). https://doi.org/10.1023/B:AURC.0000014729.88225.6f
Issue Date:
DOI: https://doi.org/10.1023/B:AURC.0000014729.88225.6f