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ИД «Финансы и кредит»






Economic Analysis: Theory and Practice

Possibility of applying of theory of efficient portfolios on the Russian stock market

Vol. 11, Iss. 5, FEBRUARY 2012

Available online: 30 January 2012

Subject Heading: Economic-mathematical modelling

JEL Classification: 

Hanin D.G. PhD in Economics, associate professor of department “State and Municipal finance”, Volga-Vyatka Academy of Public Administration

The models of security portfolios related to pre-crisis and crisis periods, calculated on the basis of stock quotes using the simplest algorithm approach to effective front are presented in the article. Analysis of model similarity formulations portfolios in excess of the benchmark in terms of profitability and reliability, containing a significant proportion of the failed total selection of local shares of the issuer is made.

Keywords: theory of efficient portfolios, mathematical expectation, standard deviation, coefficient of correlation

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

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August 2021