Digital Optimization of Portfolio with Market Restrictions

The problem of optimal portfolio diversification is considered. Based on mathematical models of the dynamics of market value formation of one share and optimal stock portfolio a structure of optimal portfolio is determined. Such models built in a class of ordinary differential equations. Another problem is the choice of the stock portfolio expected of the same return, but the risk is less. For this purpose we use a set of acceptable and effective portfolios. This sequence of steps of the algorithm allows consistently solve two optimization problems. In solving the problem of diversification of the portfolio of shares is a problem determining the moments of time, necessary to perform such diversification. In the article we constructed an algorithm for determining these points in time, based on the solution of the problem of optimal control. The using of this algorithm enables selection of optimal risk portfolio at a certain level it expected profitability. It uses efficient and acceptable set of investment portfolios.