Open AccessMethodology for calculating risk factors and assessing the sensitivity of portfolio asset returns when investing in personnel
Author(s) -
Anastasia Yu. Balaeva,
Балаева Анастасия Юрьевна,
Andrey A. Belyakov,
Беляков Андрей Алексеевич
Publication year - 2021
Publication title -
vestnik samarskogo universiteta. èkonomika i upravlenie
Language(s) - English
Resource type - Journals
eISSN - 2782-3008
pISSN - 2542-0461
DOI - 10.18287/2542-0461-2021-12-2-171-179
Subject(s) - portfolio , capital asset pricing model , investment theory , investment (military) , asset allocation , actuarial science , modern portfolio theory , rate of return , capital allocation line , economics , investment performance , arbitrage pricing theory , econometrics , business , financial economics , return on investment , finance , microeconomics , profit (economics) , production (economics) , politics , political science , law
The authors previously proposed an economic and mathematical model of investing in personnel and also the algorithm for determining of risk-free and the size of non-market risks. The goals of the article are to develop the threat rates and risk sensitive search methods during engineering of investment portfolio through arbitrage pricing theory for investment in personnel to return on investment. Questions of risk evaluation when choosing assets to invest in human capital of a company are fully provided. The covariance structure of allocation of funds of risk-free part of investment portfoliois addressed, that helps to calculate covariance between return on assets and threat rates of investment patterns that is necessary to find factor betas of portfolio. Also, the matrix of budget sharpening is offered that shows the detail investment budgets risk-free pieces split for all assets having regard to risks. The elements got standard interpretation. Then there is the balance condition that is to implement the proof of calculation. Finally, the method of how to calculate and estimate them is given.