Omardybirova V. Decision support system for portfolio manager of the investment fund.

Thesis for candidate's degree in technical sciences in specialty 01.05.04 - system analysis and decision making theory. - Taras Shevchenko National University of Kyiv, Kyiv, 2010. Research on creation of decision support system for portfolio manager was conducted. As a result corresponding decision support system was created. Investment fund portfolio creation process was studied. Corresponding structure for decision support system was created. It consists from 5 subsystems. Multidimensional stocks classification model, modification of Markovits approach to optimal portfolio construction, diffusion model parameters estimation, model for forecasting of future portfolio behavior based on RFT-transformations were developed. Description of relevant subsystems which comprise decision support system was formalized in the form of algorithms. Monte-Carlo algorithms for portfolio simulation allows to be implemented with usage of parallel GPU calculations and Nvidia's CUDA technology. Researched decision support system was developed in the form of software developed under Microsoft Visual Studio 2005, Borland C++ Builder 5.0 IDEs and written in С, C++ and C