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Моделирование Динамических Портфельных Стратегий

Author

Listed:
  • Каранашев Анзор Хасанбиевич

    (Кабардино-Балкарский государственный университет)

Abstract

В явном аналитическом виде получены составляющие оптимального портфеля (спекулятивный спрос на рисковые активы и портфель хеджирования) как функции рисковых премий, стохастически эволюционирующих параметров инвестиционной среды и характеристик функции полезности инвестора.

Suggested Citation

  • Каранашев Анзор Хасанбиевич, 2011. "Моделирование Динамических Портфельных Стратегий," Управление экономическими системами: электроннный научный журнал, CyberLeninka;Негосударственное образовательное учреждение высшего профессионального образования Кисловодский институт экономики и права, issue 34, pages 1-67.
    • Handle: RePEc:scn:007255:14930122
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