The Structure of an Investment Portfolio in Two-step Problem of Optimal Investment with One Risky Asset Via the Probability Criterion
نویسنده
چکیده
At paper we investigate problem of the investment portfolio selection from one risky asset and one risk-free asset. We use the probability criterion for the investment portfolio selection. The possibility of rebalancing of the investment portfolio is used for diversi cation of the portfolio. We nd an approximate analytical solution of the problem using the law of total probability. The investment portfolio is selected for various distributions of returns. We give an example.
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