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One Method of Solution of an Optimum Investment Portfolio Problem for Risky Assets


  • Alexander Milnikov

    () (International Black Sea University)

  • Mikheil Mamistvalov


The problem for choice of an optimum investment portfolio is considered. The square-law form of risk is presented as two-multiple convolution of ковариантного 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.

Suggested Citation

  • Alexander Milnikov & Mikheil Mamistvalov, 2008. "One Method of Solution of an Optimum Investment Portfolio Problem for Risky Assets," IBSU Scientific Journal, International Black Sea University, vol. 2(1), pages 66-70.
  • Handle: RePEc:ibl:journl:v:2:y:2008:i:1:p:66-70

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    tensor; convolution; invariants; risky assets; portfolio; covariance matrix; kontravariant vector; optimum structural potentials; relative optimum structural potentials;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions


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