Optimum portfolio of capital issues in the conditions of globalization: approaches and models

Abstract

Article is devoted to modeling questions of portfolio of capital issues taking into account effects of the globalization which manifestation in the Russian stock market considerably amplifies. In the assumption that effects of globalization are substantially concentrated in market indicators, it is offered to carry out identification of effects by means of the device main component, allowing to create a set of orthogonal factors which expand possibility application of the regression equations in models of the portfolio investment, for the first time realized by Sharp in his diagonal model from market indicators. Schemes of creation of unicomponent diagonal model and multicomponent diagonal model are in detail considered. Results of the empirical researches confirming possibility of practical use of developed models for justification of investment decisions in the conditions of globalization are given.