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- Title
Algorithm to solve the generalized Markowitz problem.
- Authors
Kibzun, A. I.; Chernobrovov, A. I.
- Abstract
relation between the VaR and CVaR criteria was established in terms of income and loss. Consideration was given to the generalized Markowitz problem, and an algorithm to solve it approximately for the piecewise-linear and bilinear income functions was presented. An analytical solution was given for the case of the scalar bilinear income function under a uniform distribution of income. A numerical algorithm was presented to solve the problem in the case of multivariable bilinear income function under normal distribution of incomes.
- Subjects
MATHEMATICAL models of income distribution; VALUE-added resellers; COMPUTER value-added resellers; ALGORITHMS; PIECEWISE linear topology; INCOME inequality; INCOME
- Publication
Automation & Remote Control, 2011, Vol 72, Issue 2, p289
- ISSN
0005-1179
- Publication type
Article
- DOI
10.1134/S0005117911020081