Development of new portfolio optimization methods based on stochastic differential equations

Title	Development of new portfolio optimization methods based on stochastic differential equations
Authors	N. V. Moiko¹ ¹Penza state university
Annotation	The paper considers the problem of building an optimal investment portfolio under conditions of uncertainty and risk. The use of stochastic differential equations for modeling the dynamics of asset prices and risk assessment is proposed. To do this, various optimization methods are applied, such as the Monte Carlo method, gradient descent-based optimization methods, and evolutionary algorithms, to find the optimal portfolio with minimal risk for a given return.
Keywords	stochastic differential equations, optimization methods, investments, stock and bond price forecasting
Citation	Moiko N. V. ''Development of new portfolio optimization methods based on stochastic differential equations'' [Electronic resource]. Proceedings of the XVI International scientific conference "Differential equations and their applications in mathematical modeling". (Saransk, July 17-20, 2023). Saransk: SVMO Publ, 2023. - pp. 155-159. Available at: https://conf.svmo.ru/files/2023/papers/paper24.pdf. - Date of access: 19.05.2024.