INFLUENCE OF THE RISK IMPORTANCE AND THE METHOD OF A RISK MEASUREMENT ON THE COMPOSITION OF THE INVESTMENT PORTFOLIO

Risk is one of the most important criteria in the investment portfolio making. It can be measured by the various ways. Three well-known risk measures are discussed variance, semivariance and average absolute negative deviation. These concepts can be easily applied to making a portfolio via the mathematical programming methods. In order to take into account a variability of some input data in time, the fuzzy multiple objective programming method is introduced. Through making the portfolio of open unit trusts, the influence of risk measure on the composition of the portfolio is studied. Further, the real portfolio making should confirm or disconfirm that a higher level of risk mostly can produce a higher level of return.