Моделирование инвестиционных решений в среде рациональных ожиданий

Abstract

• Purpose: construction of a portfolio investment model which we provide a mechanism for taking into account the rational expectations of the stock market in contrast to the Markowitz model. Discussion: Markowitz model marked the beginning of the development of modern financial theory. However, MPT is not become a tool for practical solutions under the conditions uncertainty. Black-Scholes model has been widely used on the stock exchanges to continuous calculations of option «fair value». This circumstance focuses attention to a comparison of the approaches that was used in these models. The apparatus of mathematical statistics, used in the construction of the Markowitz model is not able to reproduce in full and with sufficient depth understanding of the mechanism of formation of asset profitability in the stock market. Investors need the possibility of building a security portfolios using a different concept of the mechanism of formation of returns. Results: the authors proposed probabilistic mechanism, by means of logit models for the formation of the optimal portfolio investment models. This model provides the formation of the optimal portfolio of securities, depending on the prevailing market situation. Investment decisions in an environment of rational expectations