Solution to the management problem for a portfolio of derived financial instruments with pledge limitations

Authors
Golembiovskii, DY Dolmatov, AS
Citation
Dy. Golembiovskii et As. Dolmatov, Solution to the management problem for a portfolio of derived financial instruments with pledge limitations, J COMP SYST, 40(4), 2001, pp. 574-582
Citations number
6
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
JOURNAL OF COMPUTER AND SYSTEMS SCIENCES INTERNATIONAL
ISSN journal
10642307 → ACNP
Volume
40
Issue
4
Year of publication
2001
Pages
574 - 582
Database
ISI
SICI code
1064-2307(200107/08)40:4<574:STTMPF>2.0.ZU;2-H
Abstract
Some approaches to solving the management problem for a portfolio of derive d financial instruments with pledge limitations are considered. The usage o f the branch and bound algorithm for solving the problem is justified. Two methods of branching that provide different effects oil reducing the number of calculations are considered. Some parameters and results of modeling th e management process for a portfolio of futures and options for the FTSE 10 0 index are given.