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Economic Analysis: Theory and Practice
 

Model of structure formation of investment portfolio by using the principle of insurance risk

Vol. 12, Iss. 1, JANUARY 2013

Available online: 19 January 2013

Subject Heading: ECONOMIC-MATHEMATICAL MODELING

JEL Classification: 

Isavnin A.G. Doctor of Physical and Mathematical Sciences, Professor of department "Mathematical Methods in Economics", the branch of the Kazan Federal University in Naberezhnye Chelny
Isavnin@Mail.Ru

Galiev D.R. Assistant of department "Mathematical Methods in Economics", the branch of the Kazan Federal University in Naberezhnye Chelny
Damir.Galiev@Mail.Ru

Upgraded model of the structure of the investment portfolio by using the principle of hedging assets in conditions of high volatility in the market, based on the model developed by Constant Proportion Portfolio Insurance are presented. Portfolio Insurance model is presented. For formation of risk part of the portfolio it is offered to use "model risk - expected profitability". The results of experiments with data of the Russian stock market are given.

Keywords: models of portfolio investment, CPPI, AVaR, Russian stock market

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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