For a portfolio of securities, which at the same time satisfies the criteria of maximal efficiency and minimum risk, construction, a model is offered as a task of vectorial optimization. The decision of task is carried out the combined method, on the first stage of which a random search is used, on the second is simplex which is deformed in the process of search.
task of Markovits, multicriterion search, vectorial optimization, searching methods, method of functions of fines, search of conditional and absolute extremum
"Odnochasne rozviazannia priamoi i zvorotnoi zadachi Markovitsa poshukovym metodom" ,
Information Processing Systems,