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Avtomatika i Telemekhanika, 2014, Issue 3, Pages 87–105
(Mi at6676)
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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
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.
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
Linking options:
https://www.mathnet.ru/eng/at6676 https://www.mathnet.ru/eng/at/y2014/i3/p87
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Statistics & downloads: |
Abstract page: | 530 | Full-text PDF : | 111 | References: | 77 | First page: | 40 |
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