Primcipal Components and Their Use in Models of Portfolio Investment

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

Abstract

The possibility of using principal components to form a model of portfolio investment Sharpe is considered. The formulas for the calculation of return and portfolio variance when the regression model includes two components were got. It is shown how the model changes of portfolio investment at its formation on the basis of a two-component model.

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Published
2015-04-13
How to Cite
Давнис, В. В., Касаткин, С. Е., & Ардаков, А. А. (2015). Primcipal Components and Their Use in Models of Portfolio Investment. Modern Economics: Problems and Solutions, 7, 120-128. Retrieved from https://journals.vsu.ru/meps/article/view/7700
Issue
Vol 7 (2012): july
Section
Статьи