Some aspects of security portfolio optimization
Some aspects of security portfolio optimization

Summary/Abstract: The existing economic and mathematical patterns of security portfolio optimization are supplemented with the correlation between investment shares. The problem of capital saving, which is urgent for marketable securities portfolio, is considered. The structure of the security portfolio, the expected rate of return of which would be equal to the prescribed value and the risk rate of which would be minimal is set. A compromise alternative, which takes into consideration the expected rate of return as well as the risk, is considered.

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