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Algorithm for constructing the efficient frontier of an investment portfolio
Authors:A Z Asekov  A S Shamaev
Affiliation:1.Institute of Applied Mechanics,Russian Academy of Sciences,Moscow,Russia
Abstract:An algorithm for calculating the limiting (for large time values) efficient frontier of an investment portfolio with its assets given by stochastic differential equations is considered. The model also takes into account the influence of macroeconomic factors. What makes this algorithm special is that it uses only the simplest operations of linear algebra.
Keywords:
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