STUDY LINKS SOLVING THE MAXIMUM TASK OF LINEAR CONVOLUTION «EXPECTED RETURNS-VARIANCE» AND THE MINIMUM VARIANCE WITH RESTRICTIONS ON RETURNS
The article deals with a study of problemsof finding the optimal portfolio securitiesusing convolutions expectation of portfolioreturns and portfolio variance. Value of thecoefficient of risk, in which the problem ofmaximizing the variance - limited yieldis equivalent to maximizing a linear convolutio...
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| Format: | Article |
| Language: | Russian |
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Plekhanov Russian University of Economics
2016-08-01
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| Series: | Statistika i Èkonomika |
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| Online Access: | https://statecon.rea.ru/jour/article/view/447 |