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JOURNALS // Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics] // Archive

Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2015 Issue 1, Pages 115–126 (Mi vtpmk40)

System Analysis, Control and Data Processing

Inhomogeneous efficient portfolios

M. S. Al-Natora, A. K. Kerimovb

a Financial University under the Government of the Russian Federation, Moscow
b Peoples' Friendship University of Russia, Moscow

Abstract: The representation of expected return and variation are derived for portfolio with futures. The hedging problem statement assumes limitations on the expected return and on the number of futures in portfolio subject to market conditions. Adaptive methods for forecasting of necessary price parameters are used to estimate the efficient portfolio. All theoretical conclusions are illustrated on concrete examples. Moreover, the effective portfolio with futures together with methods of its construction is presented.

Keywords: futures, expected return and risk of portfolio with futures, efficient portfolio.

UDC: 519.95, 336.763

Received: 11.12.2014
Revised: 28.12.2014



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