A two-step capital variation model: optimization by different statistical criteria

Minimization of the income function under a two-step capital investment in risk and safe securities is studied. Results obtained with quantile, averaged quantile, logarithmic, minimax criteria are compared. Optimal values of criteria are studied as a function of the confidence probability level. A method for choosing the admissible confidence probability level for quantile optimization is described.

Presented by the member of Editorial Board: B. T. Polyak