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Regular version of the site

Article

Целочисленные модификации классических моделей портфельных инвестиций

Проблемы анализа риска. 2010. Т. 7. № 2. С. 78-87.
Сазонова А. С., Мищенко А. В.

Th e theory of optimal portfolio plays the most important role in the investment management. Th is theory aims at solving the problem of choosing an optimal asset portfolio ratio. In classical investment models it is assumed that the assets included in the portfolio are infi nitely divisible, hence a portfolio is regarded to be well formed if the optimal assets proportions there were found/. Such an approach is acceptable when the share price is low in relation to the volume of investment resources. Otherwise, the solution may be not only nonoptimal, but unacceptable. Th ese circumstances made investors consider not only classical continued portfolio investment models, but also integer analogues. Some of these models are considered in the proposed article.