The Optimality Principle "Mathematical Expectation-Var" and its Application in the Russian Stock Market

An approach to the selection of optimality criteria in stochastic investment problems modeled as games with nature with known probabilities of states is proposed. This approach is based on the combination of efficiency criteria (expected payoff) and risk criteria (such as VAR). For the emerging two-criterion problem, the method of a transfer of one criterion into a constraint is used as a method of formalization. The case of pure strategies (the choice of one investment option) and the case of mixed strategies (diversification of investments) are considered.