: a.chinchuluun@imperial.ac.

uk


.



.

(1952).

X
?

X
?
2

(
).
A = 20% , 20%
B = 10% , 20%
X 2
20% -


?
: =
, =


rA = 0.2, A = 0 .2

rB = 0.1, B = 0 .2
- AB = 0 . 01
- 50%-
50% :
x A = x B = 0.5
:
r = 0 . 5 ( 0 . 2 ) + 0 . 5 ( 0 . 1 ) = 0 . 15
= ( 0 . 5 ) 2 ( 0 . 2 ) 2 + 2 ( 0 . 5 ) 2 0 . 01 + ( 0 . 5 ) 2 ( 0 . 2 ) 2 = 0 . 16

1952
-
.

.
:
.
.
(Efficient or Pareto
optimal) .


?
5


()
:
?


?
5


()
:
?
X:


.


?
5


()
P1 (A-60%,C-40%),
P2(A-50%,D-50%),
P3(A-100%),
P4(A-30%,D-40%,E-30%),
P5(E-100%)


?
5


()
P1 (A-60%,C-40%),
P2(A-50%,D-50%),
P3(A-100%),
P4(A-30%,D-40%,E-30%),
P5(E-100%)
?




e
?


e
?



.


e
?



.


.

:


:
10%,
20%,30% r1 = 0 . 1, r2 = 0 . 2 , r3 = 0 . 3
.
x1 + x2 + x3 = 1
: x1, x2, x3

() x12 12 + x2 2 2 2 + x32 32 +
+ 2 x1 x2 12 + 2 x1 x3 13 + 2 x2 x3 23

0 . 1 x1 + 0 . 2 x 2 + 0 . 3 x 3 = 0 . 2
(20%)

Min () min x12 12 + x2 2 2 2 + x32 32 +
:
(1) + 2 x1x2 12 + 2 x1x3 13 + 2 x2 x3 23
=
s. t. x1 + x2 + x3 = 1
(2) 0 . 1 x1 + 0 . 2 x 2 + 0 . 3 x 3 = 0 . 2
(20%)
(3) x1 , x2 , x3 0

?
?
.

.
.
x x .
x?

.
.

.

(
).
:
Mean Standard Deviation ()
VaR (Value-at-Risk)
CVaR (Conditional Value at Risk)
Mean-Absolut Deviation
.
.
,
X

.
.
.

(
)
X
(
20, S&P 500, Nikkei 225, x
FTSE 100).

1992-1995, 475 v

vv 96.1 -
vv.
1995
vv.
M- x: 2005 - 1 834 174 222.27 T,
2006 - 1 870 346 551.47T, 2007 - 2 458 153
074.76T
: 20

1. A. Chinchuluun, P.M. Pardalos, A. Migdalas, and L.
Pitsoulis, editors. Pareto Optimality, Game Theory and
Equilibria, Springer (2008)
2. F. Fabozzi, P. Kolm, D. Pachamanova, and S. Focardi.
Robust Portfolio Optimization and Management, Wiley
(2007)
3. R. Fernholz. Stochastic Portfolio Theory, Springer-Verlag
(2002)
4. D. Luenberger. Investment Science, Oxford University
Press (1998)
5. H. Markowitz. Portfolio Selection, Journal of Finance,
7(1):77-91 (1952)
6. W. Sharpe. Portfolio Theory and Capital Markets.
McGraw-Hill (2000)
 !

, ?