Stochastic models of the analysis of financial systems
Автор: Shiryaeva T.A.
Журнал: Сибирский аэрокосмический журнал @vestnik-sibsau
Рубрика: Математика, механика, информатика
Статья в выпуске: 1-1 (22), 2009 года.
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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.
Risk measure, stochastic analysis
Короткий адрес: https://sciup.org/148175807
IDR: 148175807
Статья научная