Conditions for existence of optimal biactive portfolio

Rossen Nikolaev

Economic Thought journal, 2003, issue 3, 79-100

Abstract: Some aspects connected with biactive portfolio of stocks are examined. The notions of ?- and V-portfolio and respectively ?- and V-optimal portfolio are defined. The assertion of the existence of V-biactive portfolios is formulated and proven. Some conditions are drawn out in the presence of which, between the stocks of two companies, from the existence of V-portfolios derives the existence of ?-portfolios and vice versa. The obtained theoretical results are applied for examination of the existence of ?- and V-portfolio between some stocks in the stock market in Bulgaria for ten of the most traded company stocks.

JEL-codes: C61 D81 G11 (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:bas:econth:y:2003:i:3:p:79-100

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