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Conditions for existence of optimal biactive portfolio

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  • Rossen Nikolaev

Abstract

Some aspects connected with biactive portfolio of stocks are examined. The notions of ?- and V-portfolio and respectively ?- and V-optimal portfolio are defined. The assertion of the existence of V-biactive portfolios is formulated and proven. Some conditions are drawn out in the presence of which, between the stocks of two companies, from the existence of V-portfolios derives the existence of ?-portfolios and vice versa. The obtained theoretical results are applied for examination of the existence of ?- and V-portfolio between some stocks in the stock market in Bulgaria for ten of the most traded company stocks.

Suggested Citation

  • Rossen Nikolaev, 2003. "Conditions for existence of optimal biactive portfolio," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 79-100.
    • Handle: RePEc:bas:econth:y:2003:i:3:p:79-100
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 23(5), pages 761-767, December.
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    More about this item

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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