Formation of an Optimum Portfolio of Russian Companies with Probabilistic Risk Function

Victor À. Gorelik () and Tatiana V. Zolotova ()
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Victor À. Gorelik: Federal Research Center “Computer Science and Control” of Russian Academy of Sciences
Tatiana V. Zolotova: Financial University under the Government of the Russian Federation

Finansovyj žhurnal — Financial Journal, 2016, issue 3, 45-54

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.

Keywords: efficiency estimation; risk assessment; risk function; risk coefficient; convolution of criteria; distribution law (search for similar items in EconPapers)
JEL-codes: G11 G17 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:fru:finjrn:160304:p:45-54

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