On the microeconomic problems studied by portfolio theory | Zendy

O. Nikonov | Zendy; Marina Medvedeva | Zendy

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On the microeconomic problems studied by portfolio theory

Author(s) -

O. Nikonov,

Marina Medvedeva

Publication year - 2012

Publication title -

aip conference proceedings

Language(s) - English

Resource type - Conference proceedings

SCImago Journal Rank - 0.177

H-Index - 75

eISSN - 1551-7616

pISSN - 0094-243X

DOI - 10.1063/1.4756642

Subject(s) - portfolio , modern portfolio theory , post modern portfolio theory , computer science , portfolio optimization , black–litterman model , application portfolio management , mathematical economics , replicating portfolio , financial economics , mathematical optimization , economics , project portfolio management , mathematics , management , project management

In the paper we consider economically motivated problems, which are treated with the help of methods of portfolio theory that goes back to the papers by H. Markowitz [1] and J. Tobin [2]. We show that the portfolio theory initially developed for risky securities (stocks) could be applied to other objects. In the present paper we consider several situations where such an application is reasonable and seems to be fruitful. Namely, we consider the problems of constructing the efficient portfolio of banking services and the portfolio of counteragents of a firm. © 2012 American Institute of Physics

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