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  5. Simultaneous decision of direct and reverse task of Markovits by searching method

Simultaneous decision of direct and reverse task of Markovits by searching method

V.Yu. Dubnitskiy, B.V. Samorodov
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For a portfolio of securities, which at the same time satisfies the criteria of maximal efficiency and minimum risk, construction, a model is offered as a task of vectorial optimization. The decision of task is carried out the combined method, on the first stage of which a random search is used, on the second is simplex which is deformed in the process of search.
Keywords: task of Markovits, multicriterion search, vectorial optimization, searching methods, method of functions of fines, search of conditional and absolute extremum