Тип публикации: доклад, тезисы доклада, статья из сборника материалов конференций
Конференция: IASTED International Multi-Conference on Automation, Control, and Information Technology; Novosibirsk, RUSSIA; Novosibirsk, RUSSIA
Год издания: 2005
Ключевые слова: eventology; inverse Markowitz' problem; direct Markowitz' problem; numerical solution
Аннотация: The paper offers an attempt of eventologically formulating, solving and interpreting the classic portfolio Markowitz' problem and also new inverse version of this problem and pursues an end in theory and practice. A familiarization by eventology of portfolio analysis of a set of random events and a new notion of optimal portfolio oПоказать полностьюf events assists to theoretical development of eventology without doubt. Portfolio methods of solving direct and inverse eventological problems expand an area of eventological applications.
Журнал: Proceedings of the Second IASTED International Multi-Conference on Automation, Control, and Information Technology - Automation, Control, and Applications
Номера страниц: 368-373
Место издания: CALGARY
Издатель: ACTA PRESS