Studying an Optimal Investment Problem in the Case of Normal Model of Summary Return

Student: Filimonov Ivan

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Applied Mathematics (Bachelor)

Final Grade: 9

Year of Graduation: 2016

The object of this study is optimal investment problem with normal model of summary return. The main aim of the work is analysis of the methods solving the stated problem. This work explores constraint of the problem and analyzes cases, in which feasible investment portfolios exist. In the paper necessary and sufficient condi-tions for optimality were formulated. This work concludes with an example of numer-ic solving the problem with two stocks. The work consists of introduction, main body, conclusion, appendix and references list. The main part consists of three chap-ters. The total number of pages is 30.

Full text (added May 29, 2016)

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