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 covariant tensor of the covariance matrix and contravariant 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.

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Year of publication:	2008
Authors:	Milnikov, Aleksander ; Mamistvalov, Mikheil
Published in:	IBSU Scientific Journal (IBSUSJ). - Tbilisi : International Black Sea University, ISSN 1512-3731. - Vol. 2.2008, 1, p. 66-70
Publisher:	Tbilisi : International Black Sea University
Subject:	tensor \| convolution \| invariants \| risky assets \| portfolio \| covariance matrix \| contravariant vector \| optimum structural potentials \| relative optimum structural potentials

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	644228687 [GVK] hdl:10419/54624 [Handle]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010280575