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Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences
Automation and Remote Control. 2017. Vol. 78. No. 8. P. 1523-1536.
We consider an optimal portfolio selection problem to track a riskless reference portfolio. Portfolio management strategies are compared taking into account the investor’s temporal preferences. We investigate stochastic optimality of the strategy that minimizes the expected long-run cost, deriving an asymptotical upper (almost sure) estimate for the difference between the values of the objective functional corresponding to the optimal strategy and for any admissible control.
Language:
English
49606783, Russian Journal of Mathematical Physics 2016 Vol. 23 No. 4 P. 509-524
We show how the abstract analytic number theory of Maier, Postnikov, and others can be extended to include negative numbers and apply this to thermodynamics, information theory, and human thermodynamics. In particular, we introduce a certain large number N_0 on the "zero level" with a high multiplicity number qi ≫ 1 related to the physical ...
Added: February 25, 2017
M. : Association of graduates and employees of AFEA named after prof. Zhukovsky, 2018
The materials of The International Scientific – Practical Conference is presented below.
The Conference reflects the modern state of innovation in education, science, industry and social-economic sphere, from the standpoint of introducing new information technologies.
It is interesting for a wide range of researchers, teachers, graduate students and professionals in the field of innovation and information technologies. ...
Added: May 24, 2018
Litchfield Park : Emergent Publications, 2013
We see globalization as the growth of the sizes of social systems and the increase in the complexity of intersocietal links. Thus, in certain respects, globalization may be regarded as a process connecting the past, the present, and the future—as a sort of bridge between the past and the future. The title and the composition ...
Added: April 17, 2013
Khametov V., Shelemekh E. A., Yasonov E., Управление большими системами: сборник трудов 2014 № 52 С. 6-22
We propose an algorithm that solves the optimal stopping problem with the finite horizon. The algorithm is based on a derived recurrent equation for the optimal stopping time. It fulfils "separation" principle of solving the optimal stopping problem. This algorithm, implemented in Maple 14 system of computer algebras, is used to solve optimal stopping problems ...
Added: March 4, 2015
Palamarchuk E. S., Mathematical Models and Computer Simulations 2015 Vol. 7 No. 4 P. 381-388
The paper is devoted to the problem of stabilizing a linear stochastic control system. Thequadratic cost functional measures the total loss caused by deviation from the fixed (target) levels and control trajectories, as well as a decision-maker’s time preferences expressed in the discount function. The long-term impacts of the use of decision-making, optimal on average, ...
Added: October 9, 2015
Zinkina J. V., Korotayev A., Arab Studies Quarterly 2013 Vol. 35 No. 1 P. 20-38
The article analyzes the specifics of urbanization dynamics in Egypt, which is noteworthy for a number of reasons. First, there was a shift from the logistic trend in the 1970s, and the share of urban population stopped growing. The UN data analysis shows that such a shift usually occurs against the background of very serious ...
Added: March 7, 2013
Palamarchuk E. S., Automation and Remote Control 2016 Vol. 77 No. 10 P. 1756-1767
The optimality criteria used in the problem of stochastic linear regulator over an infinite time horizon were analyzed. A certain criterion for long-run average and pathwise ergodic were shown to be inefficient with regard for the disturbance factor. Consideration was given to a new criterion of the extended long-run average and its use in the ...
Added: October 21, 2016
Darkhovsky B., Попков Ю. С., Попков А. Ю., Информационные технологии и вычислительные системы 2014 № 3 С. 17-30
О задачах глобальной оптимизации ...
Added: March 2, 2015
Korotayev A., Вестник Института экономики Российской академии наук 2015 № 1 С. 149-162
The 19th century saw an explosive growth of the gap between the “First” and the “Third” World as regards per capita incomes and levels of life that has become to be known as the “Great Divergence”. In the 20th century the Great Divergence continued up to the early 1970s, and then – in the late ...
Added: December 3, 2015
M. : HSE, 2014
The materials of The Third International Scientific-Practical Conference is presented below. The Conference reflects the modern state of innovation in education, science, industry and social-economic sphere, from the standpoint of introducing new information technologies.
Digest of Conference materials is presented in 3 parts. It is interesting for a wide range of researchers, teachers, graduate students and ...
Added: April 18, 2014
В.С. Мхитарян, М.Ю. Архипова, Ю.Н. Миронкина et al., М. : Юрайт, 2018
Роль методов анализа данных в нашей жизни весьма значительна. Люди, часто не задумываясь и не осознавая, постоянно их используют в повседневной практике. Анализ данных пронизывает все аспекты современной жизни, служит основой для многих решений в предпринимательской и общественной деятельности, информируют о тенденциях и факторах, которые влияют на нашу жизнь. Анализ данных как научная дисциплина в ...
Added: November 17, 2015
М. : МИЭМ НИУ ВШЭ, 2013
The materials of The Second International Scientific – Practical Conference is presented below. The Conference reflects the modern state of innovation in education, science, industry and social-economic sphere, from the standpoint of introducing new information technologies.
Digest of Conference materials is presented in 4 parts. It is interesting for a wide range of researchers, teachers, graduate ...
Added: April 18, 2013
Korotayev A., Халтурина Д. А., Малков А. С. et al., М. : ЛКИ, 2010
В книге обсуждаются общие закономерности эволюции Мир-Системы. Показано, что они могут описываться при помощи крайне простых математических моделей. Рассматривается соотношение между микроуровневым хаосом и высокодетерминированной динамикой на макроуровне. Анализируется соотношение между циклическими и поступательными процессами. Проанализированные данные и разработанные модели позволяют предложить ряд конкретных рекомендаций, например, выявить пути решения демографического кризиса в России. Книга представляет ...
Added: March 9, 2013
Kondratev A., Ianovski E., / Cornell University. Series Computer Science "arxiv.org". 2023.
In social choice there often arises a conflict between the majority principle (the search for a candidate that is as good as possible for as many voters as possible), and the protection of minority rights (choosing a candidate that is not overly bad for particular individuals or groups). In a context where the latter is ...
Added: April 6, 2023
Kryuchkov M., Rusakov S. V., Вестник Ижевского государственного технического университета 2015 № 2(66) С. 110-112
This paper describes the results of testing the neuronal technical trend indicator according to the exchange rate of Brent oil in 2014. Testing of the model was carried out on three time series, which characterized by their features. ...
Added: August 31, 2015
Красноярск : ИВМ СО РАН, 2013
Труды Пятой Международной конференции «Системный анализ и информационные технологии» САИТ-2013 (19–25 сентября 2013 г., г.Красноярск, Россия): ...
Added: November 18, 2013
Kuznetsov V. O., Логистика и управление цепями поставок 2018 № 4 (87) С. 27-33
One of the options for a more flexible approach to analyzing the reliability of supply chains is the principal component analysis (PCA). With a large number of variables describing supply chain, it is a difficult task to analyze the structure of variables in two-dimensional space. Within the analysis of the variables dependencies PCA allows to ...
Added: November 29, 2018
Пенза : ПГУ, 2015
В сборник трудов включены доклады юбилейного ХХ-го Международного симпозиума «Надежность и качество», проходившего с 25 по 31 мая 2015 г. в городе Пензе.
Рассмотрены актуальные проблемы теории и практики повышения надежности и качества; эффективности внедрения инновационных и информационных технологий в фундаментальных научных и прикладных исследованиях, образовательных и коммуникативных системах и средах, экономике и юриспруденции; методов и ...
Added: May 31, 2015
Levin V., Козлов Д. Н., Банковское кредитование 2013 Т. 48 № 2 С. 15-25
Система предотвращения мошенничества (внутреннего и внешнего) мошенничества при потребительском кредитовании нацелена на выявление искажений персональных данных самими клиентами и/или с участием лиц вне банка (организованных преступных группировок, "черных(серых)" брокеров), а также для выявления фактов внутреннего мошенничества с участием сотрудников банка. Упор делается на индикаторы мошенничества, построенные на основе алгоритма нечетких совпадений. В системе предусмотрены возможности ...
Added: November 24, 2013
Kotelnikova M. V., Aistov A., Вестник Нижегородского университета им. Н.И. Лобачевского. Серия: Социальные науки 2019 Т. 55 № 3 С. 183-189
The article describes a method that allows to improve the content of disciplines of the mathematical cycle by dividing them into invariant (general) and variable parts. The invariants were identified for such disciplines as «Linear algebra», «Mathematical analysis», «Probability theory and mathematical statistics» delivered to Bachelors program students of economics at several universities. Based on ...
Added: January 28, 2020
Пенза : ПГУ, 2016
В сборник трудов включены доклады ХХI-го Международного симпозиума «Надежность и качество», проходившего с 23 по 29 мая 2016 г. в городе Пензе.
Рассмотрены актуальные проблемы теории и практики повышения надежности и качества; эффективности внедрения инновационных и информационных технологий в фундаментальных научных и прикладных исследованиях, образовательных и коммуникативных системах и средах, экономике и юриспруденции; методов и средств ...
Added: May 27, 2016
Kossova E. V., Potanin B., Прикладная эконометрика 2018 Т. 50 № 2 С. 114-143
The article is devoted to simultaneous estimation of one continuous and various binary equations under assumption of disturbances joint normality. It generalizes Heckman selection and switch-probit models to multivariate case. Following Heckman’s univariate model implementation both two step and maximum likelihood procedures are provided. In order to test model performance and correctness we execute analysis ...
Added: October 26, 2018
Korotayev A., NY : The Edwin Mellen Press, 2004
This book provides a cross-cultural analysis of traditional social organization of the Old World Oikumene civilizations, which suggest that the world religions were its major determinant. The role of Christianity and Islam as determinants of social evolution is analyzed in more detail. Formal analysis performed in this book shows that though such factors as political ...
Added: March 10, 2013
Ibragimova Y., Sandomirskiy F., / . Series " ". 2017.
Added: October 12, 2017