This article is cited in 4 papers

Optimization of Economic Systems

Portfolio replication: its forward-dual decomposition

A. S. Velichko, E. A. Nurminski

Institute for Automation and Control Processes, Far Eastern Branch of the Russian Academy of Sciences, Vladivostok

Abstract: Replication of a portfolio of market assets under a conditional mean loss criterion is studied. This problem with a risk constraint as the conditional mean loss is studied as a structural extremal problem with binding variables and two groups of constraints. For a large number of assets and continual planning horizons, special methods based on the forward-dual decomposition algorithms are fruitful. Results of numerical experiments are given.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 28.06.2003

 English version: Automation and Remote Control, 2004, 65:2, 311–318

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