Optimization criterions for investment portfolio management control problem

Management of innovations and investments

This paper describes a method of solving an optimal control problem for investment portfolio management. The process of managing a securities portfolio is realized as a discrete sequence of investment decisions aimed at portfolio optimization. The paper is focused on the importance of a choice of optimization criterion for solution of the optimal control problem. Different criteria based upon risk and profitability characteristics are described. Numerical experiment is conducted on basis of the proposed method.