FORMATION AND OPTIMIZATION OF VARIOUS PORTFOLIOS MODELS ON THE VaR INDICATOR BASIS
This article describes a formation of various portfolios models based on H. Markovitz portfolio theory. The portfolios which can include instruments with fixed profitability and common stock are considered. As a risk measure VaR indicator is used. In the research historical data on the stock prices...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
FINTECH Alliance LLC
2017-12-01
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| Series: | Фінансово-кредитна діяльність: проблеми теорії та практики |
| Subjects: | |
| Online Access: | https://fkd.net.ua/index.php/fkd/article/view/1758 |