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.
Переведенное названиеThe generalized problem of stochastic control of an investment portfolio
Язык оригиналарусский
Страницы (с-по)36-46
ЖурналВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА
Номер выпуска3
СостояниеОпубликовано - 2007

ID: 5045642