Email this article Stochastic models of the analysis of financial systems
- Authors: Shiryaeva TA1, Senashov S.I.1
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Affiliations:
- Issue: Vol 10, No 1-1 (2009)
- Pages: 60-63
- Section: Articles
- URL: https://journals.eco-vector.com/2712-8970/article/view/508300
- ID: 508300
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Abstract
The method of the optimum portfolio of securities formation on the basis of Koks-Ross Rubinshtejn formula is offered. A work result is the list of a concrete kind of the risk measure and application of the received measures to concrete securities and the preference formation of one papers to anothers.
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About the authors
T A Shiryaeva
Email: ak_kgau@mail.ru
Sergey Ivanovich Senashov
Email: sen@sibsau.ru
References
- Новоселов, А. А. Математическое моделирование финансовых рисков: Теория измерения / А. А. Новоселов. Новосибирск : Наука, 2001.
- Крамер, Г. Математические методы статистики / Г. Крамер. М. : Мир, 1975.
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