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Development of new portfolio optimization methods based on stochastic differential equations

TitleDevelopment of new portfolio optimization methods based on stochastic differential equations
AuthorsN. V. Moiko1
1Penza state university
AnnotationThe 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.
Keywordsstochastic differential equations, optimization methods, investments, stock and bond price forecasting
CitationMoiko 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: 04.12.2024.