This article is cited in 2 papers

Multidimensional model of the dynamics of stock prices and the problem of constructing the investment portfolio

S. S. Artem'ev, M. A. Yakunin

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences

Abstract: We consider the multidimensional model of the dynamics of stock prices in the form of the system of stochastic differential equations. We investigate the estimates of unknown parameters in model on the basis of historical prices. We introduce the characteristics of risk and profit of the investment portfolio, whose calculating by Monte Carlo method enables us to construct the set of permissible portfolios.

UDC: 519.865.5

Received: 25.10.1999
Revised: 12.05.2000

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