Mechanism of formation of the optimal investment portfolio of securities on the Markovits model on the example of shares of the largest oil companies of the Russian Federation
https://doi.org/10.34020/1993-4386-2021-1-43-47
Abstract
This article discusses the mechanism for the formation of an optimal investment portfolio of securities according to the Markowitz model using the example of shares of the largest oil companies of the Russian Federation, the direct optimization problem, which maximizes the expected return on the stock portfolio and the inverse optimization problem, minimizes the overall risk for given restrictions, on the basis of the obtained solutions of the above problems, conclusions are drawn about the structure of the securities portfolio.
About the Authors
A. .. Yarosh
Financial University under the Government of the Russian Federation
Russian Federation
Russian Federation
Yu. .. Rakhmatullina
Financial University under the Government of the Russian Federation
Russian Federation
Russian Federation
References
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3. Иванюк В.А., Абдикеев Н.М. Управление рыночными активами в условиях кризиса // Управленческие науки. 2018. Т. 8. № 1. С. 72-81.
Review
For citations:
Yarosh A..., Rakhmatullina Yu... Mechanism of formation of the optimal investment portfolio of securities on the Markovits model on the example of shares of the largest oil companies of the Russian Federation. Siberian Financial School. 2021;(1):43-47. (In Russ.) https://doi.org/10.34020/1993-4386-2021-1-43-47
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