Open AccessSOLUTION OF THE DUAL PROBLEM BY THE BARANKIN-DORFMAN METHOD FOR THE FORMATION OF THE INVESTMENT PORTFOLIO
Author(s) -
N.K. Shazhdekeeva,
A.O. Chanpalova
Publication year - 2020
Publication title -
habaršy. fizika-matematika seriâsy
Language(s) - English
Resource type - Journals
ISSN - 1728-7901
DOI - 10.51889/2020-2.1728-7901.20
Subject(s) - portfolio , modern portfolio theory , portfolio optimization , post modern portfolio theory , dual (grammatical number) , stock (firearms) , bond , replicating portfolio , econometrics , quadratic programming , economics , investment portfolio , computer science , actuarial science , mathematical optimization , financial economics , mathematics , finance , engineering , art , mechanical engineering , literature
The article focuses on the consideration of econometric models of stock quotes of large domestic companies based on modeling the securities portfolio and predicting its behavior using mathematical modeling using elements of probability theory and mathematical statistics. It is also shown how the problem of choosing the optimal portfolio can be reduced to the problem of convex quadratic programming. In this article, based on the Markowitz model, a model of an optimal investment portfolio with bilateral restrictions on variables associated with the requirements of the law is developed. An example is considered in which 10 types of stocks and bonds of large Kazakhstani companies are selected, which generates an optimal set of assets and calculates the risk of an optimal portfolio for a given level of expected return. Based on the results obtained, companies and entrepreneurs can build a strategy for investing and buying shares, knowing the probable income from a portfolio of certain types of securities.