Authors: R.S. Arnautov, A.G. Pimonov, K.E. Reisenbuk

Title of the article: Decision support system for securities portfolio management based on entropic risk measures

Year: 2015, Issue: 6, Pages: 169-175

Branch of knowledge: Informatics, computing and control

Index UDK: 004.891.2

DOI: -

Abstract: The article presents decision support system developed for managing a portfolio of securities. The work of software is based on the entropy measure of risk-balanced, and modify the heuristic optimization algorithm simulated annealing. Algorithm, adapted by the authorы for the selection of the portfolio of shares, allows to create portfolios based on two criteria: the criterion of minimizing risk in the fixed income and the criterion maximize profitability at the level of risk not exceed the specified. In this paper proposed to assess the level of risk compared to the entropy of the MICEX index as the main indicator of stock market behavior. Computational experiments on the formation of low-entropy and entropy high yield excluding the risk of portfolios on the basis of quotations of securities for the period 01.01.2013 - 01.01.2014 and performed a retrospective analysis of returns generated by the portfolios for the period 01.01.2014 - 01.01.2015. A result of research confirmed the assumption of the applicability of entropy as a measure of risk in the problems of formation and management of investment portfolios, justified the use of simulated annealing algorithm to optimize the structure of the securities portfolio.

Key words: decision support system risk measure entropy the stock market simulated annealing algorithm portfolio of securities programming

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