An Approach to Forming and Managing a Portfolio of Financial Securities by Small and Medium Price-Taking Traders in a Stock Exchange

Autor:	Alexander S. Belenky, Lyudmila Egorova
Rok vydání:	2015
Předmět:	Finance Computer Science::Computer Science and Game Theory Linear programming business.industry Share price Portfolio investment System of linear equations Broker-dealer Market maker Computer Science::Computational Engineering Finance and Science Stock exchange Economics Portfolio business
Zdroj:	Advances in Intelligent Systems and Computing ISBN: 9783319181608 MCO (1)
Popis:	The paper discusses a new approach to developing tools for quantitatively analyzing the financial behavior of small and medium price-taking traders each possessing abilities to predict share price values for a set of financial securities traded in a stock exchange. Tools for forming and managing a trader’s portfolio of securities from this set are proposed. Particularly, it is shown that when the trader can treat share price values from the portfolio as random variables with known (to her) distributions, an optimal portfolio composition is found by solving a linear programming problem. Otherwise, this optimal composition is found as the trader’s equilibrium strategy in an antagonistic two-person game with the stock exchange being the other player. In this game on polyhedra of disjoint player strategies, described by systems of linear equations and inequalities of a balance kind, calculating saddle points is reduced to solving linear programming problems forming a dual pair.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::27ae166bd9625115ecb426fe9153ed2c https://doi.org/10.1007/978-3-319-18161-5_22 Zobrazit plný text záznamu