On Direct and Inverse Variants of Eventological Markowitz' Problem: The Numerical Solution

E. Goldenok and K. Goldenok (Russia)


Eventology, Inverse Markowitz' Problem, DirectMarkowitz' Problem, Numerical Solution


The paper offers an attempt of eventologically formulating, solving and interpreting the classic portfolio Markowitz' problem and also new inverse version of this problem and pursues an end in theory and practice. A familiarization by eventology of portfolio analysis of a set of random events and a new notion of optimal portfolio of events assists to theoretical development of eventology without doubt. Port folio methods of solving direct and inverse eventological problems expand an area of eventological applications.

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