Geodesic
Problem of selecting an optimal portfolio with a probabilistic risk function
Contemporary Mathematics and Its Applications, Tome 95 (2015), pp. 3-10.

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In this paper, we examine the problem of finding an optimal portfolio of securities by using the probability function of portfolio risk as a constraint. We obtain the value of the risk coefficient for which the problem of maximizing the expectation of the portfolio return with a probabilistic risk function constraint is equivalent to the maximizing the linear convolution of the criteria “expectation—variance”. 
@article{CMA_2015_95_a0,
     author = {V. A. Gorelik and T. V. Zolotova},
     title = {Problem of selecting an optimal portfolio with a probabilistic risk function},
     journal = {Contemporary Mathematics and Its Applications},
     pages = {3--10},
     publisher = {mathdoc},
     volume = {95},
     year = {2015},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/CMA_2015_95_a0/}
}
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V. A. Gorelik; T. V. Zolotova. Problem of selecting an optimal portfolio with a probabilistic risk function. Contemporary Mathematics and Its Applications, Tome 95 (2015), pp. 3-10. http://geodesic.mathdoc.fr/item/CMA_2015_95_a0/