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Samara State Technical University

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Economics

Probabilistic approach to measuring the quality of structures of investment portfolio management algorithms

Number: 4 from 2014 year
Rubric: Mathematical Methods in Economics
UDC: УДК 007, 336.76
Original article submitted: 09 November 2014
Revision submitted: 18 November 2014
Author:
Mityanin Zahar V
Sarkisov Gennady A
Keywords:
portfolio management, algorithm, financial instrument, optimization, statistical characteristics, stochastic dominance
Abstract:

The quality of the portfolio management algorithm structure is determined by the returns distribution function for the selected time interval. Historical data analysis is used to optimize parameters of algorithms. The bootstrapping method was used to generate extra of algorithm parameters vector. Statistical characteristics of algorithms' structures were formed and compared to choose the most preferable one.

File: 2014-4-14-0023.doc