Construction and simulation of continuous time portfolio with given properties

A continuous-time version of portfolio management problem for a market with multiple stocks is under study. Asset allocation policy is determined implicitly as a solution to the system of ordinary differential equations for asset quantities. Right-hand sides of equations are derived explicitly in closed form from given portfolio properties using techniques of construction of differential equations by given integral manifold. Related issues of simulation for portfolio with desired properties are also addressed. We present the results of computer experiment for verification of specified portfolio property using constructed portfolio model in the form of the system of stochastic differential equations. © 2021 Copyright for this paper by its authors. Use permitted under Creative Commons License Attribution 4.0 International (CC BY 4.0).