The two-step problem of investment portfolio selection from two risk assets via the probability criterion

Autor:	A. N. Ignatov, A. I. Kibzun
Rok vydání:	2015
Předmět:	Rate of return on a portfolio Actuarial science Control and Systems Engineering Investment strategy Replicating portfolio Econometrics Portfolio Roy's safety-first criterion Electrical and Electronic Engineering Portfolio optimization Investment performance Modern portfolio theory Mathematics
Zdroj:	Automation and Remote Control. 76:1201-1220
ISSN:	1608-3032 0005-1179
DOI:	10.1134/s0005117915070061
Popis:	The problem of interest in this paper is selection of investment portfolio with two risk assets having uniformly distributed return rates. To form the portfolio, the probability criterion is used. A closed form of the criterial function at the last step is found and its continuity is analyzed. An example is presented.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1c42f530265f49106fa56da88244c4c1 https://doi.org/10.1134/s0005117915070061 Zobrazit plný text záznamu Plný text ve formátu PDF