Retrospective and perspective sides theories and practicians of portfolio financial investment

Abstract

In article key aspects of history development of the theory and practice of portfolio investment in stock market are analyzed.The perspective direction created in the last couple years which framework provides creation of a portfolio of securities on the basis of projections of their profitability is discussed.Throughout development of this direction we offer two-criterion approach to selection of the securities, providing consecutive use of Hurst exponentwhich is determined by the degree ofpredictability of the rowreflecting profitability of a financial asset, and the beta coefficient, allowing to choosehigh-yield security. The principlesare formulated portfolio of securities building based on two-criterion approach to their selection and predictive estimate of profitability.