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Avtomatika i Telemekhanika, 2015, Issue 7, Pages 78–100
(Mi at14256)
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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
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.
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
Linking options:
https://www.mathnet.ru/eng/at14256 https://www.mathnet.ru/eng/at/y2015/i7/p78
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Statistics & downloads: |
Abstract page: | 531 | Full-text PDF : | 145 | References: | 77 | First page: | 50 |
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