Abstract:
An axiomatic approach to stock market research and an assessment of the effective securities portfolio are proposed. A meaningful interpretation was found for the studied three parameters of the stock market. When examining a financial investment model, the optimal solution is determined by the conditions at the time of the model formation. In real life, these conditions are changeable. Changing the parameters of the original model requires an assessment of the change in the optimal solution. We consider methods of sensitivity analysis based on the principle of minimax and the duality theory, which is important in the sense of economic applications, associated with it.
Keywords:stock market parameters, portfolio efficiency, minimal risk portfolio, maximal efficiency portfolio, short sale operation, minimax, duality.
