Geodesic
Inhomogeneous efficient portfolios
Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika, no. 1 (2015), pp. 115-126

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The representation of expected return and variation are derived for portfolio with futures. The hedging problem statement assumes limitations on the expected return and on the number of futures in portfolio subject to market conditions. Adaptive methods for forecasting of necessary price parameters are used to estimate the efficient portfolio. All theoretical conclusions are illustrated on concrete examples. Moreover, the effective portfolio with futures together with methods of its construction is presented.
Keywords: futures, expected return and risk of portfolio with futures, efficient portfolio. 
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     author = {M. S. Al-Nator and A. K. Kerimov},
     title = {Inhomogeneous efficient portfolios},
     journal = {Vestnik Tverskogo gosudarstvennogo universiteta. Seri\^a Prikladna\^a matematika},
     pages = {115--126},
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     number = {1},
     year = {2015},
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     url = {http://geodesic.mathdoc.fr/item/VTPMK_2015_1_a6/}
}
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M. S. Al-Nator; A. K. Kerimov. Inhomogeneous efficient portfolios. Vestnik Tverskogo gosudarstvennogo universiteta. Seriâ Prikladnaâ matematika, no. 1 (2015), pp. 115-126. http://geodesic.mathdoc.fr/item/VTPMK_2015_1_a6/