Milnikov, Aleksander; Mamistvalov, Mikheil - In: IBSU Scientific Journal (IBSUSJ) 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 covariant tensor of the covariance matrix and contravariant vector of weights. By means of reduction of covariance matrix to the diagonal form, the...