One Method of Solution of an Optimum Investment Portfolio Problem for Risky Assets

Alexander Milnikov () and Mikheil Mamistvalov
Additional contact information
Alexander Milnikov: International Black Sea University

IBSU Scientific Journal, 2008, vol. 2, issue 1, 66-70

Abstract: The problem for choice of an optimum investment portfolio is considered. The square-law form of risk is presented as two-multiple convolution of ковариантного tensor of the covariance matrix and kontravariant vector of weights. By means of reduction of covariance matrix to the diagonal form, the problem by definition of optimum structure of a portfolio is solved: simple expressions for a minimum of risk and optimum distribution of the weights providing this minimum are received.

Keywords: tensor; convolution; invariants; risky assets; portfolio; covariance matrix; kontravariant vector; optimum structural potentials; relative optimum structural potentials (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
https://journal.ibsu.edu.ge/index.php/ibsusj/article/download/47/40 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibl:journl:v:2:y:2008:i:1:p:66-70

Access Statistics for this article

IBSU Scientific Journal is currently edited by Giuli Alasania

More articles in IBSU Scientific Journal from International Black Sea University Contact information at EDIRC.
Bibliographic data for series maintained by Salavat Sayfullin ().