Constricting the risk-management model on FOREX market and portfolio optimization in terms of orders volume

N.A. Ionova

Abstract


This paper identifies the new method in setting the volumes for trades in suggestion that summary profit of the company is maximum. The method consists of two parts: 1. Building a prognosis for volume and rate 2. Optimizing summary profit according to built prognosis. In this article prognosis is constructing using the Garch/Egarch models ,because of the heteroscedasticity of using data. The best prognoses method is determining by given data. Optimization model is building by L - BFGS – B, Nelder – Mead, Conjugate Gradient methods.

The article begins with the description of the research area. The mathematical substantiation of the problem is given in the second part. The third part describes program realization and results of analysis on the given dataset. In the last part of the article summarizes the results and gives the generalization of the problem for other datasets.


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References


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