Discrete model of stochastic optimization of investment portfolio

Gorun Pavlo Pavlovych; Chabaniuk Yaroslav Mykhailovych

Gorun Pavlo Pavlovych ¹ , Chabaniuk Yaroslav Mykhailovych ^2,3

¹ Department of Artificial Intelligence Systems, National University “Lviv Polytechnic”, Lviv , 79905, Ukraine

² Department of Industrial Safety and Labor Protection, Lviv State University of Life Safety , Lviv , 79000, Ukraine

³ Department of Optimal Process Theory, Ivan Franko National University of Lviv, Lviv, 79000, Ukraine

Keywords: discrete model, stochastic optimization, Markov switching, convergence conditions, generator of two-component Markov process

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Abstract

A multidimensional discrete procedure of stochastic optimization with Markov switchings in the series scheme is investigated. Sufficient conditions for its convergence has been established. Convergence conditions for multidimensional procedure were analized based on the generator of discrete procedure for a double-component Markov process and its asymptotic representations in the averaging scheme. The stochastic optimization procedure was applied to the problem of finding an optimal investment portfolio.

References

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ACS Style: Gorun, P.P.; Chabaniuk, Y.M. Discrete model of stochastic optimization of investment portfolio. Bukovinian Mathematical Journal. 2016, 3
AMA Style: Gorun PP, Chabaniuk YM. Discrete model of stochastic optimization of investment portfolio. Bukovinian Mathematical Journal. 2016; 3(1).
Chicago/Turabian Style: Pavlo Pavlovych Gorun, Yaroslav Mykhailovych Chabaniuk. 2016. "Discrete model of stochastic optimization of investment portfolio". Bukovinian Mathematical Journal. 3 no. 1.

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