Standard

ОБОБЩЕННАЯ ЗАДАЧА СТОХАСТИЧЕСКОГО УПРАВЛЕНИЯ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ. / Вавилов, С. А.; Ермоленко, К. Ю.

In: ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА, No. 3, 2007, p. 36-46.

Research output: Contribution to journal › Article › peer-review

Harvard

Вавилов, СА & Ермоленко, КЮ 2007, 'ОБОБЩЕННАЯ ЗАДАЧА СТОХАСТИЧЕСКОГО УПРАВЛЕНИЯ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ', ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА, no. 3, pp. 36-46. <https://elibrary.ru/item.asp?id=16284124>

APA

Вавилов, С. А., & Ермоленко, К. Ю. (2007). ОБОБЩЕННАЯ ЗАДАЧА СТОХАСТИЧЕСКОГО УПРАВЛЕНИЯ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ. ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА, (3), 36-46. https://elibrary.ru/item.asp?id=16284124

Vancouver

Вавилов СА, Ермоленко КЮ. ОБОБЩЕННАЯ ЗАДАЧА СТОХАСТИЧЕСКОГО УПРАВЛЕНИЯ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ. ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА. 2007;(3):36-46.

Author

Вавилов, С. А. ; Ермоленко, К. Ю. / ОБОБЩЕННАЯ ЗАДАЧА СТОХАСТИЧЕСКОГО УПРАВЛЕНИЯ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ. In: ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА. 2007 ; No. 3. pp. 36-46.

BibTeX

@article{8eb62ccd802b4bf8978b6202144821fd,
title = "ОБОБЩЕННАЯ ЗАДАЧА СТОХАСТИЧЕСКОГО УПРАВЛЕНИЯ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ",
abstract = "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.",
author = "Вавилов, {С. А.} and Ермоленко, {К. Ю.}",
year = "2007",
language = "русский",
pages = "36--46",
journal = " ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. ЭКОНОМИКА",
issn = "1026-356X",
publisher = "Издательство Санкт-Петербургского университета",
number = "3",

}

RIS

TY - JOUR

T1 - ОБОБЩЕННАЯ ЗАДАЧА СТОХАСТИЧЕСКОГО УПРАВЛЕНИЯ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ

AU - Вавилов, С. А.

AU - Ермоленко, К. Ю.

PY - 2007

Y1 - 2007

N2 - 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.

AB - 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.

M3 - статья

SP - 36

EP - 46

JO - ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. ЭКОНОМИКА

JF - ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. ЭКОНОМИКА

SN - 1026-356X

IS - 3

ER -

ID: 5045642