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 covariant tensor of the covariance matrix and contravariant 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.
How to Cite
MILNIKOV, Alexander; MAMISTVALOV, Mikheil. One Method of Solution of an Optimum Investment Portfolio Problem for Risky Assets. IBSU Scientific Journal, [S.l.], v. 2, n. 1, p. 66-70, may 2008. ISSN 2233-3002. Available at: <https://journal.ibsu.edu.ge/index.php/ibsusj/article/view/47>. Date accessed: 09 aug. 2020.
Legal and Social Sciences, Economics
tensor; convolution; invariants; risky assets; portfolio; covariance matrix; kontravariant vector; optimum structural potentials; relative optimum structural potentials
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