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On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component

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Abstract

Consideration was given to the optimal formation of the security portfolio by the logarithmic criterion for two uniformly distributed risk securities and one riskless security. For the criterial function, concavity was established and the explicit form was presented, the lower and upper estimates of the criterial function and their corresponding strategies were determined. An example of using the relations obtained was discussed.

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Authors and Affiliations

  1. Moscow, Russia

    A. N. Ignatov & A. I. Kibzun

Authors
  1. A. N. Ignatov
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  2. A. I. Kibzun
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Correspondence to A. N. Ignatov.

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Original Russian Text © A.N. Ignatov, A.I. Kibzun, 2014, published in Avtomatika i Telemekhanika, 2014, No. 3, pp. 87–105.

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Ignatov, A.N., Kibzun, A.I. On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component. Autom Remote Control 75, 481–495 (2014). https://doi.org/10.1134/S0005117914030060

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  • DOI: https://doi.org/10.1134/S0005117914030060

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