SOLVING RISK CONDITIONS OPTIMIZATION PROBLEM IN PORTFOLIO MODELS
In this paper formation model of stock portfolios M from N is studied in order to minimize the total risk of all portfolios. In this study, it is assumed that risk of each stock portfolio is expressed by definite function. This function depends only on invested amount for portfolio formation, and total risk is a function of risks of separated portfolios. The discussed model is a non-linear minimization bi-parametric model which can be converted into one parametric minimization problem for certain varieties of objective.