AN’ANAVIY KVADRATIK OPTIMIZATSIYA MODELIDA AXBOROT KOEFFITSIYENTI (IC) TUZATISHLARINI QO‘LLASH VA ULARNING SAMARADORLIGI
Keywords:
Bundan tashqari, modellashtirish jarayonida tranzaksiya xarajatlari va dividend daromadliligi (P/E) ham inobatga olinadi.Abstract
Markovitsning klassik MV ( Mean-Variance) modeli portfelning kutilayotgan daromadini maksimal darajaga yetkazish bilan bir vaqtda portfel xavfi )ya`ni dispersiyasini) minimallashtirishga asoslangan bo`lib, modellashtirishda quyidagi maqsad funksiyalaridan foydalaniladi:
Chiziqli cheklovlar: 1) – ya’ni aktivlar ulushining nomanfiyligi
References
1. H. Markowitz, Portfolio Selection. Efficient Diversification of Investments (New York: John Wiley, 1959).
2. J.D. Jobson and B. Korkie, "Putting Markowitz Theory to Work," Journal of Portfolio Management, Summer 1981.
3. Richard O. Michaud “The Markowitz Optimization Enigma: Is 'Optimized' Optimal?”/ Financial analysts journal / january-february 1989
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Published
2026-09-19