A. N. Ignatov, A. I. Kibzun, “On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component”, Avtomat. i Telemekh., 2014, Issue 3,Pages <nobr>87

This article is cited in 4 papers

Control in Social Economic Systems, Medicine, and Biology

On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component

A. N. Ignatov, A. I. Kibzun

Moscow Aviation Institute, Moscow, Russia

Abstract: Consideration was given to the optimal formation of the security portfolio by the logarithmic criterion for two uniformly distributed risk securities and one riskless security. For the criterial function, concavity was established and the explicit form was presented, the lower and upper estimates of the criterial function and their corresponding strategies were determined. An example of using the relations obtained was discussed.

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

Received: 18.05.2013