Abstract: | The work feasible portfolio is built into the work, that is, the k-dimensional Q column vector with components qi where qi 0 for i=1,...,k and q1+...+qk=1. We define i=1,...,k in the following way:, where:. It is indicated that if ri<rj, then qi<qj and, moreover, the qi=tib
i
2
relation occurs between qi and bi estimators of parameters of characteristic line:, where ti is a certain constant. The effective formulas for a profit rate and risk of the constructed feasible portfolio are given. |