FORMATION OF THE PORTFOLIO OF SHARES ON THE RUSSIAN MARKET OF SECURITIES
Keywords:
securities market, stock portfolio, stock exchange, business, consumer demandAbstract
The purpose of the study is to form a portfolio of shares on the Russian securities market (MICEX Stock Exchange) on the basis of official data of companies in the period from March 15, 2016 to March 22, 2018. Optimality issues are important economic tasks in any investment activity. Methods. The implementation of the task of optimizing the structure of the investment portfolio in practice uses a large number of methods. To actively manage the portfolio, the Harry Markowitz model is applicable, as an appropriate tool that allows for the consideration of securities of corporate issuers and risk-free assets. Result. Expected share return and risks have been calculated, correlation and covariance matrices have been constructed to assess the presence and tightness of the relationship between the changes in yields of the relevant financial instruments in the portfolio. The analysis of the obtained results is made, showing the dependence of changes in stock returns of selected companies, the correlation of certain financial instruments, the possibility of portfolio diversification. As the problem of Markowitz, we consider the construction of a portfolio of minimum risk for a given level of profitability. Based on the minimum and maximum possible yields of the portfolio, more than 20 different investment options obtained using the add-in "Search Solutions" MS Excel are considered. Conclusion. Based on the obtained data, an effective set of Markowitz portfolios is constructed. The structure of the optimal portfolio of shares on the Russian securities market is presented. The yield and risk of the portfolio are 0.148% and 0.848%, respectively.
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