Portfolio solutions with symmetrical risk estimation

  • Алексей Николаевич Борисов
  • Ольга Викторовна Тимченко
Keywords: portfolio model of Markowitz, Sharpe model, the interaction matrix, risk assessmen

Abstract

New, symmetrical, measuring portfolio risk, which can take both positive and negative values, is discussed. The results of computational experiments, which showed a test mode statistically robust preference of model portfolio investment with symmetrical risk assessment when compared with other models.

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Published
2015-04-19
How to Cite
Борисов, А. Н., & Тимченко, О. В. (2015). Portfolio solutions with symmetrical risk estimation. Modern Economics: Problems and Solutions, 4, 114-121. Retrieved from https://journals.vsu.ru/meps/article/view/4704
Section
Статьи