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Far East Journal of Applied Mathematics

Far East Journal of Applied Mathematics
Volume 94, Issue 1, Pages 45 - 54 (January 2016)
http://dx.doi.org/10.17654/AM094010045

THE OPTIMAL ANALYTICAL SOLUTION TO A PORTFOLIO MODEL FOR UNCORRELATED ASSETS

Hao Wang and Hongshun Ruan

Abstract:

In this paper, we provide the optimal explicit analytical solution to a portfolio model for uncorrelated assets under a given admissible level of risk measured by the variance of the portfolio. An application is also given.

Keywords and phrases:

portfolio, the optimal analytical solution, risk.

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