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Contemporary Mathematics and Its Applications, 2015, Volume 95, Pages 3–10 (Mi cma1)  
This article is cited in 1 scientific paper (total in 1 paper)

Problem of selecting an optimal portfolio with a probabilistic risk function

V. A. Gorelika, T. V. Zolotovab

a Dorodnitsyn Computing Center of RAS, Moscow, Russia
b Financial University under the Government of the Russian Federation, Moscow, Russia
Full-text PDF (174 kB) Citations (1)
Abstract: In this paper, we examine the problem of finding an optimal portfolio of securities by using the probability function of portfolio risk as a constraint. We obtain the value of the risk coefficient for which the problem of maximizing the expectation of the portfolio return with a probabilistic risk function constraint is equivalent to the maximizing the linear convolution of the criteria “expectation—variance”.
English version:
Journal of Mathematical Sciences, 2016, Volume 216, Issue 5, Pages 603–611
DOI: https://doi.org/10.1007/s10958-016-2921-z
Document Type: Article
UDC: 519.863
Language: Russian
Citation: V. A. Gorelik, T. V. Zolotova, “Problem of selecting an optimal portfolio with a probabilistic risk function”, Contemporary Mathematics and Its Applications, 95 (2015), 3–10; Journal of Mathematical Sciences, 216:5 (2016), 603–611
Citation in format AMSBIB
\Bibitem{GorZol15}
\by V.~A.~Gorelik, T.~V.~Zolotova
\paper Problem of selecting an optimal portfolio with a probabilistic risk function
\jour Contemporary Mathematics and Its Applications
\yr 2015
\vol 95
\pages 3--10
\mathnet{http://mi.mathnet.ru/cma1}
\transl
\jour Journal of Mathematical Sciences
\yr 2016
\vol 216
\issue 5
\pages 603--611
\crossref{https://doi.org/10.1007/s10958-016-2921-z}
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Contemporary Mathematics and Its Applications Contemporary Mathematics and Its Applications
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