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Avtomatika i Telemekhanika, 2014, Issue 3, Pages 87–105 (Mi at6676)  
This article is cited in 3 scientific papers (total in 3 papers)

Control in Social Economic Systems, Medicine, and Biology

On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component

A. N. Ignatov, A. I. Kibzun

Moscow Aviation Institute, Moscow, Russia
Full-text PDF (235 kB) Citations (3)
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Abstract: Consideration was given to the optimal formation of the security portfolio by the logarithmic criterion for two uniformly distributed risk securities and one riskless security. For the criterial function, concavity was established and the explicit form was presented, the lower and upper estimates of the criterial function and their corresponding strategies were determined. An example of using the relations obtained was discussed.
Presented by the member of Editorial Board: P. S. Shcherbakov

Received: 18.05.2013
English version:
Automation and Remote Control, 2014, Volume 75, Issue 3, Pages 481–495
DOI: https://doi.org/10.1134/S0005117914030060
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. N. Ignatov, A. I. Kibzun, “On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component”, Avtomat. i Telemekh., 2014, no. 3, 87–105; Autom. Remote Control, 75:3 (2014), 481–495
Citation in format AMSBIB
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\by A.~N.~Ignatov, A.~I.~Kibzun
\paper On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
\jour Avtomat. i Telemekh.
\yr 2014
\issue 3
\pages 87--105
\mathnet{http://mi.mathnet.ru/at6676}
\transl
\jour Autom. Remote Control
\yr 2014
\vol 75
\issue 3
\pages 481--495
\crossref{https://doi.org/10.1134/S0005117914030060}
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\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84898948553}
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  • https://www.mathnet.ru/eng/at/y2014/i3/p87
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    References:78
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