One Method of Solution of an Optimum Investment Portfolio Problem for Risky Assets

The problem for choice of an optimum investment portfolio is considered. The square-law form of risk is presented as two-multiple convolution of ковариантного tensor of the covariance matrix and kontravariant vector of weights. By means of reduction of covariance matrix to the diagonal form, the problem by definition of optimum structure of a portfolio is solved: simple expressions for a minimum of risk and optimum distribution of the weights providing this minimum are received.