Dynamic model of management of an investment portfolio with linear criterion of quality

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Authors: Mitsel A. A., Krasnenko N. P.

Annotation: The paper considers the system with casual parameters in discrete time on the example of the investment portfolio of securities including risk and risk-free assets. The portfolio is presented in the form of two subportfolios – risky and risk-free. The linear criterion of quality is used for creation of model of management in a problem of tracking a reference portfolio. The linear criterion of quality allows to receive linear dynamic model which represents model of linear programming. The model allows to consider restrictions both on a condition of a system, and on management. For reduction of dimension of a task the method of management with the predicting model is used.

Keywords: optimum control, dynamic system with casual parameters, linear programming, an investment portfolio, tracking a reference portfolio