?
Управление портфелем финансовых инструментов с учетом модельной ошибки и ликвидности рынка
С. 14-14.
Andreev N. A.
Language:
Russian
Andreev N. A., Mathematics 2019 Vol. 7 No. 12 P. 1147
We present a robust dynamic programming approach to the general portfolio selection problem in the presence of transaction costs and trading limits. We formulate the problem as a dynamic infinite game against nature and obtain the corresponding Bellman-Isaacs equation. Under~several additional assumptions, we get an alternative form of the equation, which is more feasible for ...
Added: October 30, 2019
Andreev N. A., Smirnov S. N., В кн. : "Тихоновские чтения": научная конференция: тезисы докладов: посвящается памяти академика Андрея Николаевича Тихонова: 29 октября-2 ноября 2018 г. : М. : МАКС Пресс, 2018. С. 11-11.
Управление портфелем ценных бумаг, для целей инвестирования или хеджирования, относится к классическим задачам финансовой математики, которые допускают различные постановки, обычно использующие стохастическое динамическое программирование, где управляемым объектом является структура портфеля, а рынок описывается некоторым стохастическим процессом.
Доклад посвящен альтернативе общепринятого стохастического подхода, - за основу берется неопределенность поведения рынка в будущем, а динамика рынка описывается одним ...
Added: October 30, 2018
Andreev N. A., / Высшая школа экономики. Серия WP16 "Финансовая инженерия, риск-менеджмент и актуарная наука". 2015.
We present a worst-case aprroach to strategic portfolio management problem for discrete moments of time, accounting for transaction costs and constraints while assuming that price process is not specified. Unlike stochastic programming methods our framework is model-free, suitable for numeric implementation and can be formulated for several risky assets. We present sufficient conditions for restating ...
Added: January 30, 2015
Andreev N. A., Smirnov S. N., Computational Mathematics and Modeling 2021 Vol. 32 P. 22-44
We consider a guaranteed deterministic approach to discrete-time super-replication for guaranteed coverage of contingent claims on options for all possible asset-price scenarios. Price increases during a period are assumed to be contained in a priori specified compacta dependent on price history. A game problem is stated and reduced to the solution of the corresponding Bellman–Isaacs ...
Added: September 30, 2021
Pospelov I. G., Zhukova A., , in : 2020 European Control Conference (ECC). : Institute of Electrical and Electronics Engineers Inc., 2020. P. 1129-1134.
This paper presents the approach to solving optimal control problems that appear in economic models using the Lagrange's multipliers method. This method is not as widely used as it might be, taking into accounts its benefits and convenience. The power of this method for intertemporal general equilibrium allows building complex structural models of the whole ...
Added: December 8, 2020
Andreev N. A., / Высшая школа экономики. Series FE "Financial Economics". 2017. No. WP BRP 59/FE/2017.
We study the boundedness properties of the value function for a general worst-case scenario stochastic dynamic programming problem. For the portfolio selection problem,we present sufficient economically reasonable conditions for the finitness and uniform boundedness of the value function. The results can be used to decide if the problem is ill-posed and to correctly solve the ...
Added: January 25, 2017
Korolev A. V., СПб. : Издательство СПбГЭТУ "ЛЭТИ", 2011
Added: February 8, 2013
Gracheva S., Вестник Самарского государственного университета. Серия "Экономика и управление" 2014 № 2 (113) С. 180-185
The article examines the discrete optimization model of advertising policy. This problem is solved by dynamic programming. The resulting solution allows the company to maximize profits. ...
Added: June 4, 2014
Молоствов В.С., Жаркынбаев С. Ж., Жуковский В. И., В кн. : Сборник научных трудов III Международной школы-симпозиума «Анализ, моделирование, управление, развитие экономических систем: АМУР-2009, Севастополь, 14 - 20 сентября 2009». : ТНУ им. В.И. Вернадского, 2009. С. 191-192.
На основе принципа минимаксного сожаления по Сэвиджу формализуется понятие функции риска в многошаговой позиционной задаче. Предлагаются достаточные условия существования максимума целевого функционала при учете неопределенности. ...
Added: July 11, 2014
Maron A., Maron M., Вестник Московского авиационного института 2022 Т. 29 № 2 С. 158-165
The relevance of this work is due to the fact, that reducing the time of searching and the time for eliminating defects in civil aviation passenger aircraft can significantly reduce departure delays and the associated losses of airlines. The analysis of statistical data shows that the searching and eliminating defects are the dominant causes of ...
Added: September 30, 2022
А.А.Лазарев, Зиндер Я., Мусатова Е. Г. et al., Автоматика и телемеханика 2018 № 3 С. 144-166
The paper is concerned with scheduling the two-way traffic between two stations connected by a single-track railway with a siding. It is shown that if, for each station, the order in which trains leave this station is known or can be found, then for various objective functions an optimal schedule can be constructed in polynomial ...
Added: May 30, 2018
Alexander Lazarev, Khusnullin N., , in : Optimization and applications (OPTIMA-2014). : M. : -, 2014. P. 125-126.
We consider a particular case of railway problems, namely, the optimal scheduling of the train operation by a double-track railroad when one of the segments is under repair works.Application of the dynamic programming is effective to solve this problem. In this paper we suggest an exact algorithm. ...
Added: October 16, 2014
Andreev N. A., , in : Financial Econometrics and Empirical Market Microstructure. : NY : Springer, 2015.
The problem of optimal portfolio liquidation under transaction costs has been widely researched recently, thus producing several approaches to problem formulation and solving. Obtained results can be used for decision making during portfolio selection or automatic trading at high-frequency electronic markets. This work gives a review of modern studies in this field, comparing models and ...
Added: October 21, 2013
Yakovlev P., Доклады Академии наук 2019 Т. 484 № 4 С. 401-404
Представлен метод для эффективного сравнения символьной последовательности со всеми строками из некоторого множества, работающий существенно быстрее, чем наивный перебор сравнений со всеми строками подряд. Для ускорения процедуры предлагается оригинальный алгоритм, объединяющий использование префиксного дерева и стандартного алгоритма динамического программирования для поиска редакционного расстояния (метрики Левенштейна) между строками. Эффективность метода подтверждена в вычислительных экспериментах на массивах ...
Added: September 24, 2021
Kharitonov S., Микроэкономика 2008 № 8 С. 201-204
В настоящей статье, с помощью механизма динамического программирования, построена модель, отражающая элементы функции стоимости в динамике. Так же сформулированы и описаны воздействия на рассмотренные элементы модели. Сделан вывод о том, что организация эффективной системы хозяйствования у субъектов малого предпринимательства не возможна без учета особенностей изменения элементов модели стоимости по периодам деятельности. ...
Added: December 19, 2017
De Vallière D., Kabanov Y., Lépinette E., Finance and Stochastics 2016 Vol. 20 No. 3 P. 705-740
We consider an optimal control problem for a linear stochastic integro-differential equation with conic constraints on the phase variable and with the control of singular–regular type. Our setting includes consumption-investment problems for models of financial markets in the presence of proportional transaction costs, where the prices of the assets are given by a geometric Lévy ...
Added: September 8, 2016
Zhang B., Guan X., Pardalos P. M. et al., Journal of Optimization Theory and Applications 2018 P. 1-22
Shortest path problems play important roles in computer science, communication networks, and transportation networks. In a shortest path improvement problem under unit Hamming distance, an edge-weighted graph with a set of source–terminal pairs is given. The objective is to modify the weights of the edges at a minimum cost under unit Hamming distance such that ...
Added: February 4, 2018
D. V. Gribanov, Shumilov I. A., D. S. Malyshev, Optimization Letters 2024 Vol. 18 P. 73-103
In this work we consider the problem of computing the (min,+)-convolution of two sequences a and b of lengths n and m, respectively, where n≥m. We assume that a is arbitrary, but b_i=f(i), where f(x):[0,m)→R is a function with one of the following properties: f is linear, f is monotone, f is convex, f is concave, f is piece-wise linear, f is a polynomial function of a fixed degree. To the best of our knowledge, the concave, piece-wise linear and polynomial ...
Added: May 28, 2023
Zinder Y., Lazarev A. A., Musatova E. G. et al., Automation and Remote Control 2018 Vol. Vol. 79 No. 3 P. 506-523
The paper is concerned with scheduling the two-way traffic between two stations connected by a single-track railway with a siding. It is shown that if, for each station, the order in which trains leave this station is known or can be found, then for various objective functions an optimal schedule can be constructed in polynomial ...
Added: May 30, 2018
Yeung D., Luckraz S., Leong C. K., Birkhäuser, 2020
This contributed volume presents the state-of-the-art of games and dynamic games, featuring several chapters based on plenary sessions at the ISDG-China Chapter Conference on Dynamic Games and Game Theoretic Analysis, which was held from August 3-5, 2017 at the Ningbo campus of the University of Nottingham, China. The chapters in this volume will provide readers ...
Added: August 26, 2020
Averboukh Y., Journal of the Operations Research Society of China 2024
The paper is concerned with a variant of the continuous-time finite state Markov game of control and stopping where both players can affect transition rates, while only one player can choose a stopping time. The dynamic programming principle reduces this problem to a system of ODEs with unilateral constraints. This system plays the role of ...
Added: October 20, 2023
Omelchenko A., Малоземов В. Н., Доклады Академии наук 2003 Т. 389 № 2 С. 189-192
In this paper, we consider the problem of constructing a shock-wave system that is optimal for the total pressure and consists of several oblique shocks as a discrete optimal-control problem. Using the dynamic-programming method, we find the globally optimal and unique solution to this problem. We investigate the behavior of the optimal system as the ...
Added: September 11, 2018
Sobolev A., Риск-менеджмент в кредитной организации 2015 № 3
Статья посвящена описанию подхода к оценке эффективности портфельного управления кредитным риском на основе анализа динамики размера экономического капитала. ...
Added: November 20, 2015
Kuzyutin D., Smirnova N., Gromova E., Operations Research Perspectives 2019 Vol. 6 No. 100107 P. 1-9
In order to find an optimal and time consistent cooperative path in multicriteria multistage game the minimal sum of relative deviations rule is introduced. Using this rule one can construct a vector-valued characteristic function that is weakly superadditive. The sustainability of the cooperative agreement is ensured by using an imputation distribution procedure (IDP) based approach. ...
Added: October 8, 2019