[01] P. N. Brusov, Applied Mathematics Department, Financial University under the Government of Russian Federation, Moscow, Russia. [02] T. V. Filatova, Public Administration and Municipal Management, Financial University under the Government of Russian Federation, Moscow, Russia. [03] N. P. Orekhova, High school of Business, Southern Federal University; Investment and Taxation Laboratory, Research Consortium of Universities of the South of Russia, Rostov-on-Don, Russia.

The main objective of any investor is to ensure the maximum return on investment. During the realization of this goal at least two major problems appear: the first, in which of the available assets and in what proportions investor should invest. The second problem is related to the fact that, in practice, as is well known, a higher level profitability is associated with a higher risk. Therefore, an investor can select an asset with a high yield and high risk or a more or less guaranteed low yield. Two these selection problems constitute a problem of investment portfolio formation, which decision is given by portfolio theory. In this paper the detailed theory of portfolio of the two securities, which represents a simple case, containing, however, all the main features of more common Markowitz and Tobin portfolios has been developed by us. It appears that when selecting anti-correlated or non-correlated securities, you can create a portfolio with the risk, lower, than risk of any of the securities of portfolio, or even zero-risk portfolio (for anti-correlated securities).

A Portfolio of Two Securities, Correlated, Anti-Correlated, Non-Correlated Securities

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