The Efficiency of Dynamic Tracking Formulation for Investment Portfolio Selection Problem

Dombrovskii V. V.; Andrienko E. A.

首页> 外文期刊>Automatic Control and Computer Sciences >The Efficiency of Dynamic Tracking Formulation for Investment Portfolio Selection Problem

【24h】

The Efficiency of Dynamic Tracking Formulation for Investment Portfolio Selection Problem

机译：投资组合选择问题动态跟踪配方的效率

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

In the paper we consider dynamic investment portfolio model. Investment strategy is minimization of the expectation of terminal wealth squared deviation from the benchmark portfolio. We showed that the optimal tracking portfolio holds mean-variance efficiency.

机译：None

著录项

来源
《Automatic Control and Computer Sciences》 |2020年第2期|共7页
作者
Dombrovskii V. V.; Andrienko E. A.;
展开▼
作者单位

Tomsk State Univ Dept Informat Technol &

Business Analyt Tomsk 634050 Russia;

Tomsk State Univ Dept Informat Technol &

Business Analyt Tomsk 634050 Russia;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类自动化技术、计算机技术;
关键词
tracking investment portfolio; mean-variance efficiency; time-consistent strategies;

机译：跟踪投资组合;平均方差效率;时间一致的策略;

相似文献

外文文献
中文文献
专利

1. An improved portfolio optimization model for oil and gas investment selection [J] . Xue Qing, Wang Zhen, Liu Sijing, 石油科学（英文版） . 2014,第001期
2. A dynamic decision model for portfolio investment and assets management [J] . QIAN Edward Y., FENG Ying, HIGGISION James 浙江大学学报（英文版）（A辑：应用物理和工程） . 2005,第0z1期
3. A dynamic decision model for portfolio investment and assets management [J] . 钱彦敏, 冯颖, HIGGISION, 浙江大学学报：A卷英文版 . 2005,第B08期
4. OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION [J] . ZHONG-FEI LI, KAI W. NG, KEN SENG TAN, International journal of theoretical and applied finance . 2006,第6期

机译：动态选择投资组合的最优恒定投资组合投资策略
5. Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation [J] . Shu-Shang Zhu, Duan Li, Shou-Yang Wang IEEE Transactions on Automatic Control . 2004,第3期

机译：动态投资组合选择中的破产风险控制：广义均值方差公式
6. Optimal portfolio selection and dynamic benchmark tracking [J] . Gaivoronski AA, Krylov S, van der Wijst N European Journal of Operational Research . 2005,第1期

机译：最佳投资组合选择和动态基准跟踪
7. The Logarithmic Utility of Transaction Costs and the Selection of Dynamic Investment Portfolio [C] . Zhengang Lu International conference on cybernetics and informatics . 2014

机译：交易成本的对数效用与动态投资组合的选择
8. Optimal dynamic portfolio selection: Single and multiperiod mean-variance formulation. [D] . Baah, Kenneth. 2008

机译：最优动态投资组合选择：单周期和多周期均值方差公式。
9. Covid-19 and Optimal Portfolio Selection for Investment in Sustainable Development Goals [O] . Naoyuki Yoshino, Farhad Taghizadeh-Hesary, Miyu Otsuka -1

机译：Covid-19和可持续发展目标投资的最佳投资组合选择
10. Review of investment strategy, portfolio management, and scorecard based portfolio selection tool for direct property investments in Finland [O] . Kurki Henri 2015

机译：审查芬兰的直接房地产投资的投资策略，投资组合管理和基于记分卡的投资组合选择工具
11. Energy Technology Investments: Maximizing Efficiency through a Maritime Energy Portfolio Interface and Decision Aid. [R] . C. L. Leffler G. H. Sturtevant K. T. Schneck 2012

机译：能源技术投资：通过海事能源组合界面和决策援助最大限度地提高效率。

The Efficiency of Dynamic Tracking Formulation for Investment Portfolio Selection Problem

摘要

著录项

相似文献

相关主题

期刊订阅