71578 | ИПУ РАН

Автор(ы):

Автор(ов):

Параметры публикации

Тип публикации:

Доклад

Название:

Construction of an Investment Portfolio Based on Stochastic Modeling

Электронная публикация:

Да

ISBN/ISSN:

978-1-6654-9701-5

DOI:

10.1109/MLSD55143.2022.9934569

Наименование конференции:

2022 15th International Conference Management of large-scale system development (MLSD)

Наименование источника:

Proceedings of the 15th International Conference Management of Large-Scale System Development (MLSD)

Город:

Moscow

Издательство:

IEEE

Год издания:

2022

Страницы:

https://ieeexplore.ieee.org/document/9934569

Аннотация

The aim of the work is a comparative analysis of investment portfolios built based on stochastic modeling. We obtained actual stock price data of 80 Russian companies traded on the Moscow Stock Exchange for the last six years. Using it, we created simulation models.

Библиографическая ссылка:

Иванюк В.А., Шувалов К.И., Горошникова Т.А., Терелянский П.В., Левченко К.Г., Сунчалин А.М. Construction of an Investment Portfolio Based on Stochastic Modeling / Proceedings of the 15th International Conference Management of Large-Scale System Development (MLSD). Moscow: IEEE, 2022. С. https://ieeexplore.ieee.org/document/9934569.