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 |
Published: |
Plekhanov Russian University of Economics
2016-08-01
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Series: | Statistika i Èkonomika |
Subjects: | |
Online Access: | https://statecon.rea.ru/jour/article/view/447 |