Vorobyev, Oleg Yu.; Novosyolov, Arcady A.; Simonov, … - Volkswirtschaftliche Fakultät, … - 2001
A new approach to portfolio analysis of financial market risks by random set tools is considered. Despite many attempts … fundamental properties that a market model should possess. The paper suggests a random set approach as a probabilistic base of … random set approach allows to derive the so called transition set-matrices, random set invariants of capital redistribution …