Institute of Information Theories and Applications FOI ITHEA
Portfolio analysis exists, perhaps, as long, as people think about acceptance of rational decisions connected with
use of the limited resources. However the occurrence moment of portfolio analysis can be dated precisely enough
is having connected it with a publication of pioneer work of Harry Markovittz (Markovitz H. Portfolio Selection) in
1952. The model offered in this work, simple enough in essence, has allowed catching the basic features of the
financial market, from the point of view of the investor, and has supplied the last with the tool for development of
rational investment decisions.
The central problem in Markovitz theory is the portfolio choice that is a set of operations. Thus in estimation, both
separate operations and their portfolios two major factors are considered: profitableness and risk of operations
and their portfolios. The risk thus receives a quantitative estimation. The account of mutual correlation
dependences between profitablenesses of operations appears the essential moment in the theory. This account
allows making effective diversification of portfolio, leading to essential decrease in risk of a portfolio in comparison
with risk of the operations included in it. At last, the quantitative characteristic of the basic investment
characteristics allows defining and solving a problem of a choice of an optimum portfolio in the form of a problem
of quadratic optimization.