Automatic Data Processing System of Constructing an Optimal Mean/Value-at-Risk Portfolio
Электронный архив ТПУ
Информация об архиве | Просмотр оригинала| Поле | Значение | |
| Заглавие |
Automatic Data Processing System of Constructing an Optimal Mean/Value-at-Risk Portfolio
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| Автор |
Kritski, Oleg Leonidovich
Belsner, Olga Alexandrovna |
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| Тематика |
data processing system
Benati - Rizzi algorithm Value at Risk Markowitz method системы обработки риски автоматические системы обработка данных оценка стоимости фондовые рынки инвестиции доходность акции |
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| Описание |
We propose a computer-based automatic system of share prices processing for constructing an optimal mean/Valueat-Risk portfolio with mixed integer linear programming algorithm based on Benati - Rizzi method. We investigate the impact of so-called Value at risk measure on the size of total capital and shares in the optimal risky portfolio is necessary for revising the classical approach of Markovitz and for adapting it to the modern requirements in the banking and financial sectors. In a classical way it is impossible to construct a portfolio when structural changes in the stock market are happened, or as the same, when a long fall in prices is replaced by a steady growth. Our work is devoted to the study of the construction of the risky portfolio using the Value at risk measure. Within this investigation, two portfolios are constructed according to the classical Markowitz algorithm and the Benati - Rizzi algorithm. The sample alpha and beta-coefficients are estimated, the riskiness and profitability of passive portfolio investments are calculated. The comparison of returns and values of such portfolios of shares included in Moscow index MICEX-10 was carried out.
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| Дата |
2020-01-23T09:13:02Z
2020-01-23T09:13:02Z 2019 |
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| Тип |
Conference Paper
Published version (info:eu-repo/semantics/publishedVersion) Conference paper (info:eu-repo/semantics/conferencePaper) |
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| Идентификатор |
Kritski O. L. Automatic Data Processing System of Constructing an Optimal Mean/Value-at-Risk Portfolio / O. L. Kritski, O. A. Belsner // 14th International Forum on Strategic Technology (IFOST-2019), October 14-17, 2019, Tomsk, Russia : [proceedings]. — Tomsk : TPU Publishing House, 2019. — [С. 126-129].
http://earchive.tpu.ru/handle/11683/57458 |
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| Язык |
en
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| Связанные ресурсы |
14th International Forum on Strategic Technology (IFOST-2019), October 14-17, 2019, Tomsk, Russia : [proceedings]. — Tomsk, 2019.
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| Права |
Open access (info:eu-repo/semantics/openAccess)
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