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

Authors

  • Alexander Milnikov
  • Mikheil Mamistvalov

Keywords:

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

Abstract

The 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.

Author Biographies

Alexander Milnikov

Prof. Dr., Faculty of Information Technologies and Engineering , IBSU

Mikheil Mamistvalov

Student of IBSU

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Published

2008-05-08

Issue

Vol. 2 No. 1 (2008)

Section

Legal and Social Sciences, Economics

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