Model of investment portfolio optimization
Date Issued
2017
Author(s)
Pistunov, I. M.
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.
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.
Subjects
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