Economic Analysis: Theory and Practice

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Economic Analysis: Theory and Practice

32(287) - 2012 August

Algorithm of multiple efficient portfolios Analysis of application in Russian market

Vol. 11, Iss. 32, AUGUST 2012

Available online: 12 September 2012

Subject Heading: ECONOMIC-MATHEMATICAL MODELING

JEL Classification:

Hanin D.G. PhD in Economic Sciences, Associate Professor of department "State and Municipal Finance", the Nizhny Novgorod Institute of Management - branch of the Russian Academy of National Economy and Public Administration under the President of the Russian Federation
khdg@rambler.ru

In the article the algorithm of creation of the approximate line of the effective front, based on author's formulas is presented. The sequence of introduction of tools in a portfolio reflects their priorities. Algorithm application for different market conditions, for narrow and wide bases of calculation its working capacity is revealed.

Keywords: return, standard deviation, structured product portfolios, effective front line, risk tolerance

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

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