One Method of Solution of an Optimum Investment Portfolio Problem for Risky Assets
The 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.
Volume (Year): 2 (2008)
Issue (Month): 1 ()
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