Milnikov, Alexander; Mamistvalov, Mikheil - In: IBSU Scientific Journal 2 (2008) 1, pp. 66-70
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...