Сибирский федеральный университет

Тип публикации: доклад, тезисы доклада, статья из сборника материалов конференций

Конференция: IASTED International Multi-Conference on Automation, Control, and Information Technology; Novosibirsk, RUSSIA; Novosibirsk, RUSSIA

Год издания: 2005

Ключевые слова: eventology; inverse Markowitz' problem; direct Markowitz' problem; numerical solution

Аннотация: The paper offers an attempt of eventologically formulating, solving and interpreting the classic portfolio Markowitz' problem and also new inverse version of this problem and pursues an end in theory and practice. A familiarization by eventology of portfolio analysis of a set of random events and a new notion of optimal portfolio of events assists to theoretical development of eventology without doubt. Portfolio methods of solving direct and inverse eventological problems expand an area of eventological applications.

Журнал: Proceedings of the Second IASTED International Multi-Conference on Automation, Control, and Information Technology - Automation, Control, and Applications

Номера страниц: 368-373

Место издания: CALGARY

Издатель: ACTA PRESS

• Goldenok E. (KRASNOYARSK STATE UNIV)
• Goldenok K. (KRASNOYARSK STATE UNIV)

• Web of Science Core Collection