Сибирский федеральный университет

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

Конференция: Computational Methods in Systems and Software, CoMeSySo 2021

Год издания: 2021

Идентификатор DOI: 10.1007/978-3-030-90321-3_80

Ключевые слова: investment portfolio, markowitz model, mean-variance approach, risk aversion, utility function

Аннотация: In this paper portfolio selection problem is studied under premise that there are two basic approaches to determine an optimal portfolio: (1) mean-variance approach implemented into the Markowitz model; and (2) the concept of utility, which in regard to modern portfolio theory is defined in terms of portfolio risk and return. This paper focuses on these two approaches showing how they apply to single-period investment problem and demonstrating how they work together to produce strong and useful pricing relationships. The modification of the utility function based on the Markowitz model is proposed and an algorithm for investment portfolio optimization problem is developed. A modified utility maximization model is formulated in terms of portfolio variance and standard deviation. An illustrative experimental case-study is performed via ‘Moscow Exchange’ Trading Organizer. The investment portfolio is optimized on the basis of the modified utility maximization model in real time. It is shown that the introduced k-coefficient in the utility objective function can be considered as the coefficient of risk aversion. It is concluded that in contrast to the traditional Markowitz model, the proposed approach based on the utility function takes into account the investor’s risk preferences and extends our understanding of the location of the efficient frontier in consideration of the parameters set for the investor. © 2021, The Author(s), under exclusive license to Springer Nature Switzerland AG.

Журнал: Lecture Notes in Networks and Systems

Выпуск журнала: Vol. 231 LNNS

Номера страниц: 958-972

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)
• Yarkova S.A. (Krasnoyarsk Institute of Railway Transport - Branch of the Irkutsk State Transport University, Krasnoyarsk, Russian Federation)
• Danilova A.S. (Krasnoyarsk Institute of Railway Transport - Branch of the Irkutsk State Transport University, Krasnoyarsk, Russian Federation)
• Yurieva E.A. (Professor V.F. Voino-Yasenetsky Krasnoyarsk State Medical University, Krasnoyarsk, Russian Federation)
• Senchenko A.Y. (Professor V.F. Voino-Yasenetsky Krasnoyarsk State Medical University, Krasnoyarsk, Russian Federation)
• Starova O.V. (Siberian Federal University, Krasnoyarsk, Russian Federation)
• Kravtsov D.I. (Siberian Federal University, Krasnoyarsk, Russian Federation)
• Zyablikov D.V. (Siberian Federal University, Krasnoyarsk, Russian Federation)

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