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Theoretical Aspects Of Three-Asset Portfolio Management

Author

Listed:
  • Michal SOLTES

    (Assoc. prof. Michal Soltes, Technical university of Kosice, Faculty of Economics, Slovakia,)

Abstract

The paper deals with three-asset portfolio. It focuses on ordinary investor, for whom the Markowitz’s theory of selection of optimal portfolio is often too difficult to use in practise. In the paper, new formulas for calculation of the weights of the assets in three-asset portfolio optimised according to the risk measured by standard deviation are being derived. The paper also deals with comparison of optimisation of two- and three-asset portfolio. Also the formulas for calculation of weights of assets in three-asset portfolio, which is optimised under the pre-defined rate of return, are derived in the paper.

Suggested Citation

  • Michal SOLTES, 2012. "Theoretical Aspects Of Three-Asset Portfolio Management," Curentul Juridic, The Juridical Current, Le Courant Juridique, Petru Maior University, Faculty of Economics Law and Administrative Sciences and Pro Iure Foundation, vol. 51, pages 130-136, December.
    • Handle: RePEc:pmu:cjurid:v:51:y:2012:p:130-136
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    File URL: http://www.upm.ro/facultati_departamente/ea/RePEc/curentul_juridic/rcj12/recjurid124_13F.pdf
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    More about this item

    Keywords

    portfolio; portfolio management; optimisation; portfolio’s analysis; standard deviation;
    All these keywords.

    JEL classification:

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

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