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Minimization of Risk in Portfolio Management
The goal of this paper is to examine the portfolio risk obtained for a given portfolio return for an investment portfolio of assets according to the presumptions of Markowitz model. After minimizing the risk for a fixed return with the method of Lagrange multipliers for conditional extremum, the effective frontier for a sample of Bulgarian assets taken from BSE is constructed. A method for solving the optimization portfolio selection problem using fuzzy decision theory is discussed.
