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Building a portfolio based on different risk measures and investor's risk perception

Kolyasnikova E.R. Bashkir State University, Ufa, Republic of Bashkortostan, Russian Federation ( len82@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #8, 2017

Importance Investors have individual perception of and attitude to risk when making their decisions. The article offers a model to build a portfolio considering the indicator of its efficiency and investor's attitude to risk. The following measures of risk are taken into account: Value at Risk, semideviation, standard deviation. It is possible to apply the proposed models in practice.
Objectives The aim is to offer a suitable model to an investor on the basis of portfolio performance and investor's attitude to risk.
Methods The study rests on statistical and portfolio analysis, using optimization methods.
Results I offer modifications of the Rubinstein's function, consisting of mathematical expectation and dispersion of return on assets, compare the offered functions with the Rubinstein's function on the basis of performance indicator of created portfolios, which takes into account expected return, value at risk, semideviation and standard deviation of the portfolio return. The findings may be useful for economists, analysts, investors wishing to build an optimal portfolio based on various measures of and attitude to risk.
Conclusions and Relevance The paper suggests a suitable model for an investor and recommends the use a model, which is based on a modified function or a model with the Rubinstein's function, depending on risk aversion. Comparing the models, using the portfolio performance indicator, enables to make recommendations for the portfolio structure.


Portfolio optimization based on Value at Risk as a measure of risk

Kolyasnikova E.R. Bashkir State University, Ufa, Republic of Bashkortostan, Russian Federation ( len82@yandex.ru )

Gelemyanova D.A. Bashkir State University, Ufa, Republic of Bashkortostan, Russian Federation ( gelemyanovadiana@mail.ru )

Journal: Economic Analysis: Theory and Practice, #35, 2015

Importance When building an investment portfolio, investors often make decisions under uncertainty and risk. The article considers the formation and optimization of parametric securities portfolio based on Value at Risk as a measure of risk, and reviews the existing techniques.
     Objectives The study's objective is to develop a model to create an optimal portfolio in the stock market.
     Methods We employed statistical and portfolio analyses and optimization methods. We processed the statistical information in MS Excel and STATISTICA 10, and implemented optimization problems in MS Excel.
     Results We offer a three-step model of optimal portfolio based on the following risk measures: Value at Risk, standard deviation, and semi-deviation. We have conducted a computational experiment implementing the proposed model, taking into account the real data of the securities market. The article includes recommendations for investor on how to build an optimal portfolio.
     Conclusions and Relevance We have built a portfolio under the proposed three-step model. The model enables to make recommendations to investors on optimal allocation of funds. The work is intended for a wide range of economists, bankers, analysts, investors working in financial markets and wishing to create an optimal portfolio of financial instruments.


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