DocumentCode
416545
Title
Dynamic model of active portfolio management with stochastic volatility in incomplete market
Author
Dombrovsky, V.V. ; Lashenko, E.A.
Author_Institution
Tomsk State Univ., Russia
Volume
1
fYear
2003
fDate
4-6 Aug. 2003
Firstpage
516
Abstract
The investment portfolio management problem is considered. The risky financial assets prices evolution is described by difference equations with stochastic volatility. The objective of portfolio management is to over perform some benchmark portfolio. The problem is formulated as a dynamic tracking task with quadratic criterion. The approach of defining optimal feedback control strategy is suggested. The numerical modelling results are presented.
Keywords
difference equations; feedback; financial management; investment; optimisation; stochastic processes; difference equations; dynamic tracking task; investment portfolio management problem; optimal feedback control strategy; quadratic criterion; risky financial assets prices evolution; stochastic volatility;
fLanguage
English
Publisher
ieee
Conference_Titel
SICE 2003 Annual Conference
Conference_Location
Fukui, Japan
Print_ISBN
0-7803-8352-4
Type
conf
Filename
1323412
Link To Document