Wybrane aspekty optymalnego sterowania portfelem inwestycyjnym akcji na rynku kapitałowym
Some aspects of optimal control applied to an investment portfolio in the capital market
Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej, 2011, vol., nr 91, s. 117-128
Abstract
The article presents a concept of capital management for assembling investment portfolios. Two optimization variants of a portfolio to be purchased are discussed. Portfolio I is structured using the “traditional method”. To assemble portfolio II, elements of reliability theory and the dynamic programming method were used. The article also analyses the sale of a portfolio with respect to the demand for financial instruments in the capital market