The work feasible portfolio is built into the work, that is, the k-dimensional Q column vector with components q
i where q
i
q1 = \fracri2 1 - ri2 A - 1 q_1 = \frac{{r_i^2 }}{{1 - r_i^2 }}A^{ - 1}
, where:
ri = r(Ri ,RM ) \textand A = åi = 1k \fracri2 1 - ri2 r_i = r(R_i ,R_M ) {\text{and}} A = \sum\limits_{i = 1}^k {\frac{{r_i^2 }}{{1 - r_i^2 }}}
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. It is indicated that if r
i<r
j, then q
i<q
j and, moreover, the q
i=t
ib
i
2
relation occurs between q
i and b
i estimators of parameters of characteristic line:
Ri = ai + bi RM + ei (i = 1,...,k)R_i = \alpha _i + \beta _i R_M + e_i (i = 1,...,k)
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, where t
i is a certain constant. The effective formulas for a profit rate and risk of the constructed feasible portfolio are given.