V. I. Dubrovin, V. M. Liovkin


Investment portfolio optimization approaches (proposed in the works by Markowitz, Sharpe and Value-at-Risk methodology, fuzzy approach based on possibility theory) were analyzed. Risk assessment tools (based on standard, semiquadratic and median semi-quadratic deviation, critical values of profitability), used in these methods, were considered in details and their main shortcomings and advantages were detected. Advices for investment portfolio optimization methods choice (and for risk assessment accordingly) were given under special conditions.


risk assessment, investment portfolio, Markowitz, Sharpe model, Value-at-Risk methodology, fuzzy approach

GOST Style Citations

DOI: https://doi.org/10.15588/1607-3274-2010-1-10

Copyright (c) 2014 V. I. Dubrovin, V. M. Liovkin

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Address of the journal editorial office:
Editorial office of the journal «Radio Electronics, Computer Science, Control»,
Zaporizhzhya National Technical University, 
Zhukovskiy street, 64, Zaporizhzhya, 69063, Ukraine. 
Telephone: +38-061-769-82-96 – the Editing and Publishing Department.
E-mail: rvv@zntu.edu.ua

The reference to the journal is obligatory in the cases of complete or partial use of its materials.