Оптимизация портфеля финансовых инструментов

Abstract

Nowadays investment of money is one of the most popular ways of income acquisition. The foundation of portfolio investment is allocation of investment money between various groups of assets, since it is impossible to predict fulfillment of two conditions at the same time: high reliability and maximum yield. Markowitz model implies standard portfolios, i.e. portfolios that consist only of bought stocks.The first condition may be drawn from the above: all securities must have positive shares, the second condition is the sum of securities shares equal to 1. In order to avoid excess risk, investors will struggle to minimize the yield standard deviation by diversifying the capital between different objects of investment.For this work, we used the MICEX 10 Index stocks as investment assets. A stock is known to be a security that certifies payment of a certain share in the enterprise and gives its owner the right of property and profit participation. The results of the investigation revealed that Sberbank JSC and Pharmstandard JSC stocks provide the biggest yield.