Email this article Problem of Selecting an Optimal Portfolio with a Probabilistic Risk Function
- Authors: Gorelik V.A.1, Zolotova T.V.2
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Affiliations:
- Dorodnitsyn Computing Center of RAS
- Financial University under the Government of the Russian Federation
- Issue: Vol 216, No 5 (2016)
- Pages: 603-611
- Section: Article
- URL: https://ogarev-online.ru/1072-3374/article/view/237868
- DOI: https://doi.org/10.1007/s10958-016-2921-z
- ID: 237868
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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.”
About the authors
V. A. Gorelik
Dorodnitsyn Computing Center of RAS
Author for correspondence.
Email: vgor16@mail.ru
Russian Federation, Moscow
T. V. Zolotova
Financial University under the Government of the Russian Federation
Author for correspondence.
Email: tgold11@mail.ru
Russian Federation, Moscow
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