Формирование оптимального инвестиционного портфеля по комплексу эффективных портфелей

The paper presents the scheme for preliminary processing of historical records, provides the algorithm for historical sample length optimization, estimates expected returns and risks by prognostic models of optimal complexity, drawing on the principle of integrated decisions. The author offers a new method to generate efficient portfolios taking into account cross correlation links and construction of investment portfolio of optimal complexity based on the principle of integrated decisions.