Template-Type: ReDIF-Article 1.0
Author-Name: Victor À. Gorelik
Author-Email: vgor16@mail.ru
Author-Workplace-Name: Federal Research Center “Computer Science and Control” of Russian Academy of Sciences
Author-Name: Tatiana V. Zolotova
Author-Email: tgold11@mail.ru
Author-Workplace-Name: Financial University under the Government of the Russian Federation
Title: Formation of an Optimum Portfolio of Russian Companies with Probabilistic Risk Function
Abstract: This paper examines the problem of finding an optimal portfolio of securities by using the probability function of portfolio risk as a constraint. The authors obtained 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”. Results of the study are demonstrated on specific data using the developed tools.
Classification-JEL: G11, G17
Keywords: efficiency estimation, risk assessment, risk function, risk coefficient, convolution of criteria, distribution law
Journal: Finansovyj žhurnal — Financial Journal
Pages: 45-54
Issue: 3
Year: 2016
Month: June
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2016/3/statyi_3/04.pdf
File-Format: Application/pdf
Handle: RePEc:fru:finjrn:160304:p:45-54