






#56 (213214) / Հունվար 2018


Ashot NANYAN
ON REBALANCING OF THE INVESTMENT PORTFOLIO
Keywords: investment portfolio, asset, demand, variance, yield. In this article sensitivity of Markowitz investment demand with regards to riskiness of assets is studied. In particular, an attempt is made to extend the methodology of the neoclassical theory of consumption to the theory of portfolio selection by distinguishing two versions of an asset demand – primal and dual demand. It is established that the primal demand of an asset is (weakly) decreasing in the variance of that asset. At the same time, the effect of the expected return on the primal demand of an asset is ambiguous.
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