Security portfolio simulation based on twolevel globalization mechanism

Abstract

Purpose: the securities portfolio simulation taking into account the effects of globalization, intensified on the Russian stock market. Discussion: under the assumption that the effects of globalization are heavily concentrated in market indicators, it is proposed to identify of these effects using the apparatus of the principal components. It is allowed to generate set of orthogonal factors using market indicators. It enhanced the possibility of regression analysis in the diagonal model of Sharpe. We considered the scheme of construction of single-component and multicomponent diagonal model. Results: model allows us to establish that the return on assets is determined by globalization through the change in the average yield of the national market, and level of risk through a global component directly. The results of empirical studies confirm the possibility of the practical use of the developed models to justify investment decisions in the context of globalization.