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Avtomatika i Telemekhanika, 2015, Issue 7, Pages 78–100 (Mi at14256)  
This article is cited in 12 scientific papers (total in 12 papers)

Stochastic Systems, Queuing Systems

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

A. I. Kibzun, A. N. Ignatov

Moscow State Aviation Institute, Moscow, Russia
Full-text PDF (275 kB) Citations (12)
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Abstract: 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.
Presented by the member of Editorial Board: P. S. Shcherbakov

Received: 13.10.2014
English version:
Automation and Remote Control, 2015, Volume 76, Issue 7, Pages 1201–1220
DOI: https://doi.org/10.1134/S0005117915070061
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. I. Kibzun, A. N. Ignatov, “The two-step problem of investment portfolio selection from two risk assets via the probability criterion”, Avtomat. i Telemekh., 2015, no. 7, 78–100; Autom. Remote Control, 76:7 (2015), 1201–1220
Citation in format AMSBIB
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\pages 78--100
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  • https://www.mathnet.ru/eng/at/y2015/i7/p78
    • This publication is cited in the following 12 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Full-text PDF :157
    References:79
    First page:50
     
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