Rutitskaja V. Mathematical models development and the system analysis for the decision-making process of applied problems in investment management.

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0405U004126

Applicant for

Specialization

  • 01.05.04 - Системний аналіз і теорія оптимальних рішень

27-10-2005

Specialized Academic Board

Д 26.001.35

Taras Shevchenko National University of Kyiv

Essay

The dissertation covers problems of construction and research of mathematical models and parametric dynamic systems with incomplete information about a condition of system in terms of the theory of investment management. On the basis of methods of the system analysis of mathematical models new statements of a wide spectrum of static and dynamic problems of financial management are formulated and investigated, necessary conditions of an optimality are received and algorithms of search of optimum decisions are developed. Work performs the system analysis of the given models, new statements and formulation of static and dynamic financial problems are investigated, necessary conditions of optimality are received and algorithms of their definition are developed. The dynamic mathematical model of the portfolio of securities cost formation is deduced and scientifically proved. Practical problems of modeling of an optimum investment portfolio structure, effective diversification and securities price monitoringare considered. The offered technique has been applied to the decision-making problems of the applied financial analysis and investors' activity optimization in the share market.

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