On the Equivalence of Optimality Principles of the Investment Portfolio

Victor A. Gorelik () and Tatyana V. Zolotova ()
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Victor A. Gorelik: Dorodnicyn Computing Centre, Russian Academy of Sciences
Tatyana V. Zolotova: Financial University under the Government of the Russian Federation

Finansovyj žhurnal — Financial Journal, 2014, issue 2, 67-74

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».

Keywords: efficiency assessment; risk assessment; risk function; coefficient of risk; parcel of criteria; distribution law (search for similar items in EconPapers)
JEL-codes: E22 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:fru:finjrn:140207:p:67-74

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