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Formation of an Optimum Portfolio of Russian Companies with Probabilistic Risk Function

Author

Listed:
  • Victor À. Gorelik

    (Federal Research Center “Computer Science and Control” of Russian Academy of Sciences)

  • Tatiana V. Zolotova

    (Financial University under the Government of the Russian Federation)

Abstract

This paper examines the problem of finding an optimal portfolio of securities by using the probability function of portfolio risk as a constraint. The authors obtained 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”. Results of the study are demonstrated on specific data using the developed tools.

Suggested Citation

  • Victor À. Gorelik & Tatiana V. Zolotova, 2016. "Formation of an Optimum Portfolio of Russian Companies with Probabilistic Risk Function," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 45-54, June.
    • Handle: RePEc:fru:finjrn:160304:p:45-54
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    More about this item

    Keywords

    efficiency estimation; risk assessment; risk function; risk coefficient; convolution of criteria; distribution law;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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