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On the Construction of Positional Control in a Multistep Portfolio Optimization Problem with Probabilistic Criterion

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Abstract

We consider a multistep portfolio optimization problem. At every time step, capital can be invested either in a risk-free asset with fixed income or in a risky asset with a random return with a finite density. The optimality criterion is the probability of reaching or exceeding the investor’s capital at the terminal time moment at a certain predetermined level. Based on the use of piecewise constant control, we propose a positional control that surpasses previously known universal controls, which are used in portfolio optimization problems, in terms of the value of the probabilistic criterion on a wide set of examples.

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Authors and Affiliations

  1. Moscow Aviation Institute, Moscow, Russia

    A. N. Ignatov

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  1. A. N. Ignatov
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Correspondence to A. N. Ignatov.

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Ignatov, A. On the Construction of Positional Control in a Multistep Portfolio Optimization Problem with Probabilistic Criterion. Autom Remote Control 81, 2181–2193 (2020). https://doi.org/10.1134/S0005117920120036

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  • DOI: https://doi.org/10.1134/S0005117920120036

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