2012 № 3

Some practical tasks of the portfolio optimization model

Abstract:

This work suggests a method to accomplish some problems considered in the model of securities portfolio optimization for the case of risk-free borrowing and lending, especially, determining the parameters of the tangent portfolio and deriving the analytic expression of the CML equation. The optimization (calculating the effective frontier) is carried out using the Lagrange function by introducing the linear equations of the agent utility function as crucial lines.

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Konstantin V. Krinichansky – Dr. Sci. (Econ.), Professor,  South Ural State University (national research university) (Chelyabinsk, Russian Federation; e-mail: kkrin@ya.ru).

Anatoly V. Bezrukov – Senior lecturer, South Ural State University (national research university) (Chelyabinsk, Russian Federation; e-mail: regus2011@mail.ru).