INSTITUTE OF INFORMATION TECHNOLOGIES - BAS

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Cybernetics and Information Technologies
Volume 4, No 2. Sofia, 2004, Bulgarian Academy of Sciences

Approximation of Portfolio Moment States

Krassimir Milanov¹ , Leoneed Kirilov²

¹ FinAnalytica Ltd, Sofia, E-mail: krasimir.milanov@finanalytica.com
² Institute of Information Technologies, 1113 Sofia, E-mail: Lkirilov@iinf.bas.bg

Abstract: A portfolio optimization problem with assets is discussed in the paper. The portfolio motion equations are deduced in the phase space based on the theorem for existence and identity of Cauchy's problem for ordinary differential equations (ODE). These equations are used for approximation of the portfolio-phase trajectory.

Keywords: Finance Management, portfolio, assets.