STUDY LINKS SOLVING THE MAXIMUM TASK OF LINEAR CONVOLUTION «EXPECTED RETURNS-VARIANCE» AND THE MINIMUM VARIANCE WITH RESTRICTIONS ON RETURNS

Abstract

The article deals with a study of problemsof finding the optimal portfolio securitiesusing convolutions expectation of portfolioreturns and portfolio variance. Value of thecoefficient of risk, in which the problem ofmaximizing the variance - limited yieldis equivalent to maximizing a linear convolution of criteria for «expected returns-variance» is obtained. An automated method for finding the optimal portfolio, onthe basis of which the results of the studydemonstrated is proposed.

Keywords

• оценка эффектив ности
• оценка риска
• коэффициент риска
• свертка критериев
• efficiency estimation
• riskestimation
• risk coeffi cient
• convolution of criteria