The Management of an Investment Portfolio in Financial Markets within the Framework of an Approach Alternative to Self-financing Strategy

Abstract

The robust feed-back control schemes to provide the sustainable growth of investor capital are introduced. These schemes are based on the current dynamics of the asset prices. It is assumed that the price of asset follows rather general stochastic differential equation. In contrast to the generally used self-financing strategy the control is realized within the framework of an open system. The latter implies the possibility to invest cash into the portfolio in the process of trading.

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Cite this paper

@inproceedings{Vavilov2007TheMO, title={The Management of an Investment Portfolio in Financial Markets within the Framework of an Approach Alternative to Self-financing Strategy}, author={Sergey A. Vavilov and Konstantin Yu. Ermolenko}, booktitle={World Congress on Engineering}, year={2007} }