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The two-step problem of investment portfolio selection from two risk assets via the probability criterion

  • Stochastic Systems, Queueing Systems
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Abstract

The problem of interest in this paper is selection of investment portfolio with two risk assets having uniformly distributed return rates. To form the portfolio, the probability criterion is used. A closed form of the criterial function at the last step is found and its continuity is analyzed. An example is presented.

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Authors and Affiliations

  1. Moscow State Aviation Institute, Moscow, Russia

    A. I. Kibzun & A. N. Ignatov

Authors
  1. A. I. Kibzun
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  2. A. N. Ignatov
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Original Russian Text © A.I. Kibzun, A.N. Ignatov, 2015, published in Avtomatika i Telemekhanika, 2015, No. 7, pp. 78–100.

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Kibzun, A.I., Ignatov, A.N. The two-step problem of investment portfolio selection from two risk assets via the probability criterion. Autom Remote Control 76, 1201–1220 (2015). https://doi.org/10.1134/S0005117915070061

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  • DOI: https://doi.org/10.1134/S0005117915070061

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