Риск-управляемая модель оптимального портфельного инвестирования

Abstract

The risk-driven model of optimal portfolio investment
Purpose: construction the model of portfolio investment with the mechanism providing the possibility of forming a portfolio, the expected return which is consistent with the stock market's opportunities. Discussion: Markowitz with his model formulated the basic requirements for the investment decisions in the stock market. But the apparatus he used to build his model was limited by the level of knowledge and opportunities of that time. Naturally, because of this ideas of optimal formation portfolio of securities, implemented on the basis of statistical methods, contained the potential for further development. And this potential almost immediately began to act. Along with the modifications «cosmetic» nature models envisaging for new principles of formation of a portfolio of solutions were suggested. Tobin's model, the diagonal model of Sharpe, a model that takes into account the investor's attitude to risk enriched the theory of portfolio investment. But a special place in this list is Sharp model. Its formation was carried out using linear regression analysis, a more complex models which is assumed to be used to construct proposed in this article model of portfolio investment. Results: using the unit econometric modelling of discrete variables allowed to build a model of optimal portfolio investment, whose properties differ from the properties of the Markowitz model, but do not contradict the logic of common sense.