Две модели принятия решений участником торгов на фондовой бирже по формированию и изменению своего инвестиционного портфеля

2015. No. WP7/2015/02.

Belenky A., Egorova L.

Two mathematical models formalizing the decision-making process by a trader on developing and changing her investment portfolio in a stock exchange are presented. According to the first model the trader can correctly predict future values of financial securities of her interest. In this case, the problem of finding optimal strategies of investing in these financial securities is reduced to solving a linear programming problem. Under the second model, by means of linear inequalities of a balance type, the trader can estimate the area in which the values of the whole spectrum of the above financial securities may change. In this case, the same problem is formulated as an antagonistic game, analogous to the game with nature, with a nonlinear payoff function. It is proven that saddle points in this game can be found by solving linear programming problems forming a dual pair.

Keywords: ценные бумаги, portfolio, портфель, седловая точка, линейное программирование, linear programming, saddle point, financial securities

Publication based on the results of: Data Analysis and Decision Making in Socio-Economic and Political Systems (2015)