MODELS AND METHODS OF OPTIMIZING THE CHOICE OF AN INVESTMENT PORTFOLIO
DOI:
https://doi.org/10.15588/1607-3274-2008-1-12Abstract
The basic components of optimal portfolio were viewed: expected portfolio’s yield and standard deviation as the risk’s measure. These components allow the agent of the financial market to restructure portfolio uninterruptedly (maximizing profit of intermediate consumption and (or) final capital) according to stochastic varying investment opportunities. Methods of optimization (H. Markowitz’s and W. Sharpe’s method) were analysed, and also the role of utility function in forming investment portfolio was viewed.
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