Model of investment portfolio optimization

Abstract

Many researchers and practitioners traders investigate the problem of optimal portfolios formation. This method is an effective tool for filtering incoming data on securities volatility. As for research works relevant for CIS countries, a significant contribution to the theory of optimal investment portfolio. Despite the existing variety of scientific and practical approaches to formation of investment strategy and risk management, classical Markowitz and Sharpe models are widely applied for direct distribution of funds among the assets. The aim of this study is to improve the investment portfolio optimization model by combining existing Markowitz and Sharpe models.