Title:

Proceedings of the 3rd Italian-Polish conference on applications of systems theory to economy, management and technology: Białowieża, Poland, May 26-31, 1976 * Systems theory of economic * Generalized separatio in portfolio theory

Subtitle:

Książka = Book ; KS/1/1977/R02P07

Creator:

Szegö, G.

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Date issued/created:

1977

Description:

[4], 238-243 pages ; 21 cm ; Bibliography p. 243

Type of object:

Book/Chapter

Abstract:

The work concerns some problems arising in the mathematical theory of portfolio selection i.e. in the problem, given n risk investments and a capital w, of finding an allocation of the capital among the n investments which maximizes the expected utility of the investor. One of the most peculiar properties which have been found is the so-called separation property, i.e. the separation of the original set of n investments into a certain number of "portfolios" which are linear combinations of certain nonintersecting subsets of the original sets of investments and are such that the original set of investments can be replaced by these portfolios.

Relation:

Książka = Book

Resource type:

Text

Detailed Resource Type:

Book

Source:

KS-1977-01-R02P07

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open