Single component model of portfolio investment

  • Валерий Владимирович Давнис Voronezh State University
  • Сергей Евгеньевич Касаткин
  • Алексей Анатольевич Ардаков
Keywords: portfolio of securities, single-index model, single model, risk, shock

Abstract

In the article it is proposed to build the model of portfolio investment Sharpe not to use single-index model, but one-component, resulting in an increase in equity accounted risk in model and increase reliability of the portfolio of securities.

 

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Published
2015-04-09
How to Cite
Давнис, В. В., Касаткин, С. Е., & Ардаков, А. А. (2015). Single component model of portfolio investment. Modern Economics: Problems and Solutions, 5, 150-158. Retrieved from https://journals.vsu.ru/meps/article/view/7651
Issue
Vol 5 (2012): may
Section
Статьи