The equivalency analysis of three classical optimization models in risk investment
Shan Fengb · Journal of Shenyang Aerospace University · 2012
The three classical optimization models in risk investment are risk minimization model,expected revenue maximization model and Risk aversion model.The equivalency of these three classical optimization models will provide more approaches in future risk investment analysis.It is proved in this paper that the three optimization models produce the same effective frontiers,and in this sense,it is concluded that the three classical optimization models are equivalent.In addition,the numerical example is presented with reference to the MSCI World Stock Index data to explain the equivalency of the three models.