One Method of Solution of an Optimum Investment Portfolio Problem for Risky Assets
AbstractThe problem for choice of an optimum investment portfolio is considered. The square-law form of risk is presented as two-multiple convolution of ÐºÐ¾Ð²Ð°Ñ€Ð¸Ð°Ð½Ñ‚Ð½Ð¾Ð³Ð¾ tensor of the covariance matrix and kontravariant vector of weights. By means of reduction of covariance matrix to the diagonal form, the problem by definition of optimum structure of a portfolio is solved: simple expressions for a minimum of risk and optimum distribution of the weights providing this minimum are received.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by International Black Sea University in its journal IBSU Scientific Journal.
Volume (Year): 2 (2008)
Issue (Month): 1 ()
Contact details of provider:
Postal: D. Agmashenebeli Kheivani 13th km, No 2, Tbilisi
Web page: http://www.ibsu.edu.ge/Icerik.aspx?ID=381&Page1=150&Page2=WELCOME
More information through EDIRC
tensor; convolution; invariants; risky assets; portfolio; covariance matrix; kontravariant vector; optimum structural potentials; relative optimum structural potentials;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Salavat Sayfullin).
If references are entirely missing, you can add them using this form.