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Economic Analysis: Theory and Practice
 

Optimizing models of management of an investment portfolio according to risk

Vol. 11, Iss. 41, NOVEMBER 2012

Available online: 7 November 2012

Subject Heading: Investment activity

JEL Classification: 

Mishchenko A.V. Doctor of Economic Sciences, Professor of department "Mathematical Methods in Economics", the Russian Economic University named after G.V. Plehanov
nesterovich@gnext.ru

Skokov А.А. Graduate Student of department "Mathematical Methods in Economics", the Russian Economic University named after G.V. Plehanov
alex.skokov@gmail.com

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)
ISSN 2073-039X (Print)

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