Quantile criterion-based control of the securities portfolio with a nonzero ruin probability

Autor:	T. V. Bunto, Yu. S. Kan
Rok vydání:	2013
Předmět:	Dynamic programming Mathematical optimization Actuarial science Control and Systems Engineering Portfolio Roy's safety-first criterion Electrical and Electronic Engineering Portfolio optimization Quantile function Optimal control Ruin theory Mathematics Quantile
Zdroj:	Automation and Remote Control. 74:811-828
ISSN:	1608-3032 0005-1179
DOI:	10.1134/s0005117913050068
Popis:	For the portfolio of investments into securities of two kinds, consideration was given to the two-step problem of optimal control by the quantile performance criterion under the assumption that the yield is distributed with a nonzero ruin probability. The problem of quantile criterion comes to optimization of the probability functional, and the method of dynamic programming was used for analytical design of the optimal strategy.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::9f8f83d0fae3f967861f845f80740ebe https://doi.org/10.1134/s0005117913050068 Zobrazit plný text záznamu Plný text ve formátu PDF