Articlediamond2019

Optimization of investment portfolio management

27 citations0/0 files storedSerbian Journal of Management

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Risk and Portfolio Optimization Financial Analysis and Corporate Governance Stochastic processes and financial applications

Abstract

The task of creating an investment portfolio by a financial institution is considered. Funds for creating a portfolio are taken from two sources: enterprise's equity funds and borrowed funds. Optimization of the created portfolio is performed. A portfolio of maximum efficiency was obtained with restriction on the measure of risk, which is specified in the form of a VaR indicator. Using optimization portfolio data, a model of portfolio asset management is being built. Using the Pontryagin maximum principle, optimal strategies of its participants are determined. The optimal function of managing the investment portfolio in the form of a share of the income received is found. Numerical results of optimal management of investments in a financial portfolio from the financial institution as well as from the creditor are presented.

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References

1952PORTFOLIO SELECTION*2002Conditional value-at-risk for general loss distributions 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices 2003Value at Risk: Theory and Practice 1984Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets 2019A comprehensive review of deterministic models and applications for mean-variance portfolio optimization 1967Objectives, Constraints, and Outcomes in Optimal Growth Models 2007The Pontryagin maximum principle and optimal economic growth problems

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