Evgeni Dubinin: Optimal Allocation of Spare Funds CSIT 2000 : 337-340
In present paper the problem of the investment portfolio structure determination is considered, taking into account the investor's expectations. The points are defined as the objects for the investment; each of them is specified by the fixed size of income (in form of interest) as well as the proabbility of reliable work. The obtained problem of the stochastic programming is solved by splitting into a pair of separate problems, which are solved, respectively, by the branch-and-bound method and a method of linear programming. The algorithm for solving the problem is offered, which is illustrated finally with a numerical example.
Copyright © 2000 by the Institute for Contemporary Education "JurInfoR-MSU". Permission to copy without fee all or part of this material is granted provided that the copies are not made or distributed for direct commercial advantage, the CSIT copyright notice and the title of the publication and its date appear, and notice is given that copying is by permission of the Institute for Contemporary Education JMSUICE. To copy otherwise, or to republish, requires a fee and/or special permission from the JMSUICE.
Heinz Schweppe and Yuri S. Kabalnov (Eds.): CSIT'2000, Proceedings of 2nd International Workshop on Computer Science and Information Technologies, September 18-23, 2000, Ufa, Russia. USATU Publishers & JurInfoR-MSU Publishing 2000, ISBN 5-86911-312-1