Problemy Upravleniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Probl. Upr.:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Problemy Upravleniya, 2011, Issue 3, Pages 36–42 (Mi pu650)  

This article is cited in 1 scientific paper (total in 1 paper)

Control in the socio-economic systems

Some questions of estimation of investors' portfolios correlation moments

V. A. Gorelika, T. V. Zolotovab

a Dorodnitsyn Computing Centre of the Russian Academy of Sciences, Moscow
b Komsomolsk-on-Amur State Technical University
Full-text PDF (680 kB) Citations (1)
References:
Abstract: The article is dedicated to the correlation moments calculation of the optimal portfolios which are the solutions of maximization problem of linear combination of mathematical expectation and dispersion. It is proved, that at the same investors information condition the optimal portfolios corresponding to the different risk coefficients are positively correlated. The conditions of negative portfolios correlation for the investors with different estimations of the financial instruments return are developed.
Keywords: mathematical expectation, dispersion, correlation coefficient, risk coefficient.
Document Type: Article
UDC: 35.073.5
Language: Russian
Citation: V. A. Gorelik, T. V. Zolotova, “Some questions of estimation of investors' portfolios correlation moments”, Probl. Upr., 2011, no. 3, 36–42
Citation in format AMSBIB
\Bibitem{GorZol11}
\by V.~A.~Gorelik, T.~V.~Zolotova
\paper Some questions of estimation of investors' portfolios correlation moments
\jour Probl. Upr.
\yr 2011
\issue 3
\pages 36--42
\mathnet{http://mi.mathnet.ru/pu650}
Linking options:
  • https://www.mathnet.ru/eng/pu650
  • https://www.mathnet.ru/eng/pu/v3/p36
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Проблемы управления
    Statistics & downloads:
    Abstract page:289
    Full-text PDF :52
    References:39
    First page:2
     
      Contact us:
     Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024