The problem of control of an investment portfolio including an arbitrary number of different types of securities and cash under the assumption that prices follow the stochastic process is under consideration in the paper. The presence of the multiplicative effect is theoretically proved and experimentally confirmed. This phenomenon can be explained by higher profits in comparison with those gained from independently controllable portfolios each containing only one definite type of securities. Possible risks and the effective method of risk management are discussed.
Translated title of the contributionThe generalized problem of stochastic control of an investment portfolio
Original languageRussian
Pages (from-to)36-46
JournalВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА
Issue number3
StatePublished - 2007

ID: 5045642