Solutions sensitivity when modeling of investment dynamics

Abstract

The efforts of researchers for analysis of the financial investment market are largely aimed at considering multi-criteria problems with a large number of criteria, studying and solving investment management problems in static and dynamic settings, building procedures for an adequate description of random processes of market price changes, developing applied numerical methods and algorithms for solving large-scale problems. These problems as tasks of management under conditions of uncertainty refer equally to the fundamental problems of the applied theory of decision-making. The researches of R. Bellman, J. Danzig, R. Merton, and G. Markowitz are aimed at establishing the fundamental foundations and studying various meaningful interpretations of financial analysis processes. Thus, in the static case, they obtained fundamental results that had a wide practical application. The property of the distribution of the optimal portfolio into risk-free and risky components for the case of the presence of a risk-free asset on the market was established, and the fundamental properties of the equilibrium market of optimal portfolios were investigated. Dynamic models of asset and liability management have found the most successful application in the field of long-term financial planning, where the need for repeated decision-making is determined by the essence of the process.

Pages of the article in the issue: 51 - 54

Language of the article: Ukrainian