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TWO-STAGE PROBLEM OF STOCHASTIC PROGRAMMING FOR FORMING A SECURITIES PORTFOLIO
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TWO-STAGE PROBLEM OF STOCHASTIC PROGRAMMING FOR FORMING A SECURITIES PORTFOLIO
Annotation
PII
S042473880000616-6-1
Publication type
Article
Status
Published
Authors
Sergei Ogorodnikov  Olga Kanaeva Anna Zykina
Edition
Issue №3
Pages
111-116
Abstract
The stochastic approach is used for the account and risk analysis in the portfolio model. The model is built up on the two-phase task of the stochastic programming.
Date of publication
01.07.2008
Number of purchasers
2
Views
795
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0.0 (0 votes)
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Additional sources and materials

Bazara M., Shetti K. (1982): Nelinejnoe programmirovanie: teoriya i algoritmy. M.: Mir.
 Zagorujko N.G. (1999): Prikladnye metody analiza dannykh i znanij. Novosibirsk: Izd-vo In-ta matematiki.
 Kaneva O.N. (2005): Formirovanie portfelya tsennykh bumag. V sb. “Voennaya tekhnika, vooruzhenie i tekhnologii dvojnogo primeneniya”. Materialy III Mezhdunarodnogo tekhnologicheskogo kongressa. Omsk: OmGU.
 Kaneva O.N. (2005): Dvukhehtapnaya zadacha linejnogo stokhasticheskogo programmirovaniya. V sb.: “Prikladnaya matematika i informatsionnye tekhnologii”. Omsk: Izd-vo OmGTU.
 Nurminskij E.A. (2000): Matematicheskie osnovy teorii finansovykh rynkov. Vladivostok: Izd-vo Dal'nevostochnogo un-ta.
 Shiryaev A.N. (1998): Osnovy stokhasticheskoj finansovoj matematiki. M.: FAZIS.
 Yudin D.B. (1974): Matematicheskie metody upravleniya v usloviyakh nepolnoj informatsii. M.: Sov. radio.

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