| Article |
|---|
| Article name |
Optimization of the russian securities stock portfolio, using financial instruments |
| Authors |
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| Bibliographic description |
Baranova E., Polkovnikova S. Optimization of the Russian securities stock portfolio, using financial instruments // Transbaikal State. University Journal, 2017, vol. 23, no. 8, pp. 122-131. DOI: 10.21209/2227-9245- 2017-23-8-122-131. |
| Category |
Economics |
| DOI |
336.763 |
| DOI |
10.21209/2227-9245-2017-23-8-122-131 |
| Article type |
Original article |
| Annotation |
In the context of the need to preserve and increase the financial resources of enterprises, the formation of an effective securities portfolio is a necessity for practical investment activities. The article deals with the task of constructing an effective portfolio of Russian securities. The target function for optimizing the investment portfolio in the study is the maximum level of income for a given level of risk. Thus, in the process of creating an investment portfolio, a new investment parameter with the necessary characteristics is achieved. The implementation of the task of optimizing the structure of the investment portfolio in practice uses a large number of methods. For the active portfolio management, the Harry Markowitz model is applicable, as an appropriate tool that allows to consider both: corporate stocks and more risk-free assets. Implementing the model, the indicators determining the risk and volume of investments are determined, the available alternatives to investing capital are compared depending on the objectives set, and thus the scale for evaluating the combinations obtained is determined. The portfolio includes corporate shares and federal loan bonds. The initial data are taken from the actual exchange quotations on the Moscow Stock Exchange. Using the definition of profitability and the risk of securities, a lot of effective portfolios have been built and the optimal option has been chosen. This set was built for a given value of the portfolio return, calculation of the standard deviation of the portfolio, as well as the specific weights of shares and bonds in the portfolio. As the most optimal one, authors recognized a portfolio with a yield of 2,25 % per month. The total portfolio risk is 1,045 % |
| Key words |
optimization, investments, financial resources, financial instruments, market of effective securities, effective securities portfolio, obligations, Harry Markowitz model, stock exchange |
| Article information |
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| References |
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