This article is cited in 12 papers

Stochastic Systems, Queuing Systems

The two-step problem of investment portfolio selection from two risk assets via the probability criterion

A. I. Kibzun, A. N. Ignatov

Moscow State Aviation Institute, Moscow, Russia

Abstract: The problem of interest in this paper is selection of investment portfolio with two risk assets having uniformly distributed return rates. To form the portfolio, the probability criterion is used. A closed form of the criterial function at the last step is found and its continuity is analyzed. An example is presented.

Presented by the member of Editorial Board: P. S. Shcherbakov

Received: 13.10.2014

 English version: Automation and Remote Control, 2015, 76:7, 1201–1220

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