Model of justification of investment decisions in the context of globalization

Abstract

The problems of constructing a model of portfolio investment, which takes into account the impact of the integration processes of the global financial market returns and volatility of Russian assets are studied. The possibility of positive solutions of these issues was included in the single-index model for the construction of which Sharp has used single-factor regression equation. With the help of these equations reflected the mechanism of interaction of the market with the individual financial assets. To reflect the integrated effects of the stock markets of some financial assets, the machine of principal component regression equations for the main components is suggested for usage. Based on the statistical properties of the principal components formulas, which allowed building a multi-index model of portfolio investment, were obtained.