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high liquid securities. The remote terminals in the bank-dealers were used for trading on the secondary RGB-market.
The prices of securities changed both over the trade session and ffom one session to another. The successful trading
of RGBs could significantly increase the profit of the investor in comparison with the passive strategy of the waiting
of the maturity. Obviously, the Russian RGB-market was constructed similarly to the west markets.
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The model of portfolio management on the interval [I,T ] was considered. Denote t E [l,T ] the number
- the
[-p
+ 1,T ] , p 2 0,
S,:, and S,If+ be the value of i-th component of portfolio before and after the
n
S; =
S,yt
i=O
n
- the
S: =
value of the portfolio after the trade operation. The dynamic of the portfolio value is described
i=O
as
.
..N
-S,y, I,S,Tf 20, ,
:
S 20, i = O J
S
: =S; - z k j
,...JV,t=1,2 ,..., T ,
i=O
r-
r+
r-
r+
correspondingly.
In our problem, the structures of portfolio after the trade
portfolio restructuring is accomplished at the prices
Ci,t
S'
SO
We define the transformation of the values for the period R as the ratio G, = - ,where So and
the values at the initial and final moments of the period
S' are
= G[C,f,,* G[fz,f31
*
moments, *en G[/,J3]
The goal of the portfolio management on the whole interval [l,T] will be the maximization of the
transformation of the value
We'll consider the dynamics of RGB prices from one session to another as a
e(cf
p , i.e.
c , = (c,,,, c2,, ,..., cN,/) at the time t is a random vector with the
I c ~ - ~ , c,...,
~ - ~c + ~ ) , t =1,2,..., T .
distribution F(c,) =
The control variables are searched as the function of the history, that is
y+ =y+(C,,C,-'
,..., c-p+,,l?,Kl,Kl
,..., K,Y),
t = 1 , 2 ,..., T-1.
. The
every strategy U E
and matrix
4= (c
l=-p+2
together determine the probability
v,v ,c, ,..., v-],c T ) which induces the probability distribution for the
transformationG[,,,l as the random value. The optimization problem is to maximize the expected transformation
G[l,TJ
for the class of strategies r .
187
WG,l,T,)
max
(*I
uEr
The concrete realization of the algorithm for the solution of the problem (*) is based on the stochastic
process model elaborated on real RGB-market information of 1994-1997. The application of this algorithm to the
portfolio management in 1994-1997 on RGB-market have provided the profit per month 66% greater than the
averaged profit through the whole market.
7
Resource Company
Agency
Electric Station
188
Auto Company
To solve the problem of the default payment reduction let us consider the matrix form of mutual debts.
Building
...
...
...
...
x5 1
x52
x53
...
...
...
...
...
...
...
...
...
...
...
...
x5 n
...
...
...
...
~
2 0,y i - the goods of i -th company available for selling to reduce the debts.
The basic problem is formulated as follows: to find all possible payments sequences and to represent them
to decision makers.
Special algorithm is elaborated to find all possible transfer chains that can be one of three types: Circle,
Cash, Deadlock, that mean the situations of mutual payments, cash receiving and impossibilityof debt
retirement correspondingly.
Obviously, the necessary information must be prepared to use the algorithm in practice. So, the information
obtained by the operation researchers determines the character of the model and the sense of computational results in
each concrete case.
Literature:
1. Bertsekas D.P., Shreve S.E. Stochastic Optimal Control. The Discrete Time Case. - New York, San
Francisko, London: Academic Press, 1978.
189