Open AccessMechanism 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
Author(s) -
Anton A. Yarosh,
Yu. .. Rakhmatullina
Publication year - 2021
Publication title -
sibirskaâ finansovaâ škola
Language(s) - English
Resource type - Journals
ISSN - 1993-4386
DOI - 10.34020/1993-4386-2021-1-43-47
Subject(s) - portfolio , portfolio investment , portfolio optimization , business , investment portfolio , financial economics , mechanism (biology) , investment (military) , economics , philosophy , epistemology , politics , political science , law
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.