Jak obliczać ryzyko portfela realizowanego w warunkach krótkiej sprzedaży

Abstract

In the work a way to calculate portfolio risk under short sale is presented. The risk is a scalar product of the Lagrange multipliers vector and the column of free items in the equation system of limiting conditions imposed on the elements of vector P. It is shown that it is possible to give it without the necessity of prior determining all factors of the mentioned product.