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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2011 Issue 3, Pages 36–42 (Mi pu650)

This article is cited in 1 paper

Control in the socio-economic systems

Some questions of estimation of investors' portfolios correlation moments

V. A. Gorelika, T. V. Zolotovab

a Dorodnitsyn Computing Centre of the Russian Academy of Sciences, Moscow
b Komsomolsk-on-Amur State Technical University

Abstract: The article is dedicated to the correlation moments calculation of the optimal portfolios which are the solutions of maximization problem of linear combination of mathematical expectation and dispersion. It is proved, that at the same investors information condition the optimal portfolios corresponding to the different risk coefficients are positively correlated. The conditions of negative portfolios correlation for the investors with different estimations of the financial instruments return are developed.

Keywords: mathematical expectation, dispersion, correlation coefficient, risk coefficient.

UDC: 35.073.5



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