Contemporary Mathematics and Its Applications, Tome 95 (2015), pp. 3-10
Citer cet article
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/
@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},
year = {2015},
volume = {95},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/CMA_2015_95_a0/}
}
TY - JOUR
AU - V. A. Gorelik
AU - T. V. Zolotova
TI - Problem of selecting an optimal portfolio with a probabilistic risk function
JO - Contemporary Mathematics and Its Applications
PY - 2015
SP - 3
EP - 10
VL - 95
UR - http://geodesic.mathdoc.fr/item/CMA_2015_95_a0/
LA - ru
ID - CMA_2015_95_a0
ER -
%0 Journal Article
%A V. A. Gorelik
%A T. V. Zolotova
%T Problem of selecting an optimal portfolio with a probabilistic risk function
%J Contemporary Mathematics and Its Applications
%D 2015
%P 3-10
%V 95
%U http://geodesic.mathdoc.fr/item/CMA_2015_95_a0/
%G ru
%F CMA_2015_95_a0
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”.
