On the Equivalence of Optimality Principles in the Two-Criteria Problem of the Investment Portfolio Choice
نویسندگان
چکیده
In this paper, we examine the problem of finding an optimal portfolio of securities by using the probability function of portfolio risk as a constraint. We obtain the value of the risk coefficient for which the problem of maximizing the expectation of the portfolio return with a probabilistic risk function constraint is equivalent to the maximizing the linear convolution of the criteria ”expectation – variance”. The positive correlation of portfolios returns that are solutions of different optimization problems is proved.
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