This article is cited in 1 paper

Problem of selecting an optimal portfolio with a probabilistic risk function

V. A. Gorelik^a, T. V. Zolotova<sup>b

a</sup> Dorodnitsyn Computing Center of RAS, Moscow, Russia
^b Financial University under the Government of the Russian Federation, Moscow, Russia

Abstract: In this paper, we examine the problem of finding an optimal portfolio of securities by using the probability function of portfolio risk as a constraint. We obtain 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”.

UDC: 519.863

 English version: Journal of Mathematical Sciences, 2016, 216:5, 603–611