Minimum yield principle under incomplete prediction of financial markets

摘要

The work investigates the properties of the solutions derived from the minimum yield principle in problems of constructing optimal in continuous VaR-criterion (CC-VaR) portfolio for an investor with own partial market forecast and own risk preferences function. Fundamental theoretical results are adduced and illustrated by examples of two-sided exponential, equiprobability, and beta distributions both for more underly's price and market forecast.