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On approximate solution of the problem of formation of the fixed-income portfolio of securities

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Abstract

Consideration was given to optimization of a fixed-income portfolio of securities in terms of the quantile performance index. Solution employed the linearization method based on the expression of the portfolio income linearized in random parameters. Analytical expressions for approximate determination of the optimal portfolio were proposed, and the error of approximation in the value of criterion was estimated.

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References

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Authors and Affiliations

  1. Moscow State Aviation Institute, Moscow, Russia

    Yu. S. Kan & A. V. Sysuev

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  1. Yu. S. Kan
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  2. A. V. Sysuev
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Additional information

Original Russian Text © Yu.S. Kan, A.V. Sysuev, 2010, published in Avtomatika i Telemekhanika, 2010, No. 6, pp. 130–141.

This work was supported by the Russian Foundation for Basic Research, project no. 09-08-00369.

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Kan, Y.S., Sysuev, A.V. On approximate solution of the problem of formation of the fixed-income portfolio of securities. Autom Remote Control 71, 1094–1104 (2010). https://doi.org/10.1134/S000511791006010X

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  • DOI: https://doi.org/10.1134/S000511791006010X

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