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The Efficiency of Dynamic Tracking Formulation for Investment Portfolio Selection Problem

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Abstract

In the paper we consider dynamic investment portfolio model. Investment strategy is minimization of the expectation of terminal wealth squared deviation from the benchmark portfolio. We showed that the optimal tracking portfolio holds mean-variance efficiency.

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Authors and Affiliations

  1. Department of Information Technologies and Business Analytics, Tomsk State University, 634050, Tomsk, Russia

    V. V. Dombrovskii & E. A. Andrienko

Authors
  1. V. V. Dombrovskii
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  2. E. A. Andrienko
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Correspondence to V. V. Dombrovskii.

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Dombrovskii, V.V., Andrienko, E.A. The Efficiency of Dynamic Tracking Formulation for Investment Portfolio Selection Problem. Aut. Control Comp. Sci. 54, 110–116 (2020). https://doi.org/10.3103/S0146411620020030

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  • DOI: https://doi.org/10.3103/S0146411620020030

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