Сибирский федеральный университет

Тип публикации: доклад, тезисы доклада, статья из сборника материалов конференций

Конференция: 11th Computer Science On-line Conference, CSOC 2022

Год издания: 2022

Идентификатор DOI: 10.1007/978-3-031-09076-9_32

Ключевые слова: asset allocation, decision making, investment portfolio optimization, markowitz model, minimum-variance set, portfolio performance evaluation

Аннотация: The emerging markets present interest for international investors due to their growth potential and resulting market returns, offering an attractive risk-return trade-off relatively to those of the developed markets. Considering the increased interest in investing in the EMEA (Eastern Europe, Middle East and Africa) financial emerging markets, it is a topical issue to develop the methods and approaches to investment techniques consistent with the market under consideration. The present state of the art demonstrates a strong likelihood that classical portfolio analysis approaches applied to the developed financial markets fail to perform the excellency in the emerging markets due to the market illiquidity, the model factors instability and information inequities. The present paper is the attempt to develop the widely used optimization techniques for investment portfolio composed of the assets of the highly volatile emerging market, namely the Russian stock market. The investment portfolio is considered under the premise that the asset classes have been selected but the values of asset returns and variances are random. The sensitivity of the traditional Markowitz Model to market uncertainties is described by the ‘conservative’, ‘nominal’ and ‘optimistic’ formulations of the problem. The effect of introducing the weight-coefficient constraint is studied. Alternative models for investment portfolio synthesizing based on the decision theory criteria and on the ‘downside’ risk measures are proposed. The applicability of the developed model is demonstrated by considering an illustrative example on the basis of stocks of one of the leading EMEA segments – the Russian stock market – traded via the Moscow Stock Exchange. Portfolio efficiency evaluation is performed on the basis of the IMOEX index as a benchmark. #CSOC1120. © 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.

Журнал: Lecture Notes in Networks and Systems

Выпуск журнала: Vol. 502 LNNS

Номера страниц: 345-361

ISSN журнала: 23673370

Издатель: Springer Science and Business Media Deutschland GmbH

• Malakhova A.A. (Siberian Federal University, Krasnoyarsk, Russian Federation, Krasnoyarsk Institute of Railway Transport - Branch of the Irkutsk State Transport University, Krasnoyarsk, Russian Federation)
• Sochneva E.N. (Siberian Federal University, Krasnoyarsk, Russian Federation)
• Dobretsov G.B. (Research Institute of the Federal Penitentiary Service of Russia, Moscow, Russian Federation)
• Starova O.V. (Siberian Federal University, Krasnoyarsk, Russian Federation)
• Zyablikov D.V. (Siberian Federal University, Krasnoyarsk, Russian Federation)
• Savchenko E.E. (Krasnoyarsk Institute of Railway Transport - Branch of the Irkutsk State Transport University, Krasnoyarsk, Russian Federation)
• Yarkova S.A. (Krasnoyarsk Institute of Railway Transport - Branch of the Irkutsk State Transport University, Krasnoyarsk, Russian Federation)
• Dudina S.P. (Reshetnev Siberian State University of Science and Technology, Krasnoyarsk, Russian Federation)
• Kravtsov D.I. (Siberian Federal University, Krasnoyarsk, Russian Federation)

• Scopus