Home  Journals  Economic Analysis: Theory and Practice  41(296) - 2012 November

Optimizing models of management of an investment portfolio according to risk

Available online: 7 November 2012

Subject Heading: Investment activity

JEL Classification: 

In classical models of investments portfolio it is supposed that the assets included in a portfolio, are infinitely divisible, having received optimum shares of acquisition of assets, a task of portfolio formation was solved. Such approach is applicable, if the price of an action is small in relation to volume of investments. Otherwise the received decision can appear not optimum and inadmissible. It forces the investors to look for the decisions with the help not only continuous, classical models, but also by their integer updating.

Keywords: portfolio investment, Black - Litterman, integer, risk

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ISSN 2311-8725 (Online)
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