Template-Type: ReDIF-Article 1.0
Author-Name: Victor A. Gorelik
Author-Email: vgor16@mail.ru
Author-Workplace-Name: Dorodnicyn Computing Centre, Russian Academy of Sciences
Author-Name: Tatyana V. Zolotova
Author-Email: tgold11@mail.ru
Author-Workplace-Name: Financial University under the Government of the Russian Federation
Title: On the Equivalence of Optimality Principles of the Investment Portfolio
Abstract: The investigation of the problem of the optimal securities portfolio determining is presented using the probability function for the portfolio risk under hypotheses about a normal and an exponential distribution of random return variables. The value of the risk coefficient is obtained, under which the problem of minimizing the probability risk function is equivalent to maximizing the linear convolution of criteria «expectation — variance».
Classification-JEL: E22
Keywords: efficiency assessment, risk assessment, risk function, coefficient of risk, parcel of criteria, distribution law
Journal: Finansovyj žhurnal — Financial Journal
Pages: 67-74
Issue: 2
Year: 2014
Month: June
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2014/2/07_2_2014.pdf
File-Format: Application/pdf
Handle: RePEc:fru:finjrn:140207:p:67-74