Dynamic model of management of an investment portfolio with linear criterion of quality
The paper considers the system with casual parameters in discrete time on the example of the investment portfolio of securities including risk and risk-free assets. The portfolio is presented in the form of two subportfolios - risky and risk-free. The linear criterion of quality is used for creation of model of management in a problem of tracking a reference portfolio. The linear criterion of quality allows to receive linear dynamic model which represents model of linear programming. The model allows to consider restrictions both on a condition of a system, and on management. For reduction of dimension of a task the method of management with the predicting model is used.