Probabilistic Possibilistic Models

On The Formalization Of The Concept Of Diversification

M. A. Tselishchev, Nazarov Leonid Vladimirovich

Department of Mathematical Statistics, Faculty of Computational Mathematics and Cybernetics, Moscow State University. M.V. Lomonosov Moscow State University.

Abstract: In the paper a new approach to diversification as a binary relation on a set of investment portfolios is proposed. We consider prerequisites for such a definition as well as some useful properties. Particularly we prove that proposed binary relation is a quasi-partial order on the set of random variables with finite first absolute moments.

Keywords: diversification, convex risk measures, investment portfolio comparison.

UDC: 519.2

Received: 21.12.2012
Revised: 20.01.2013