On a Set-Valued Dynamic Model of Investment Portfolio Reconstruction

Abstract

Traditional approaches and methods used in control problems motivated by financial management are based on the probability theory and stochastic calculus. Well-known fundamental results have been obtained in this field during the last three decades. But for dealing with emerging markets, with their lack of statistics and high level of uncertainty, the approaches based on set-valued uncertainty models seem to be adequate and useful tools. In this paper we consider a problem of dynamic investment portfolio selection treated via guaranteed control theory. A formalized setting and solution that combine the methods of this theory with traditional mean- variance approach are given.