Economic Analysis: Theory and Practice

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Economic Analysis: Theory and Practice

6(309) - 2013 February

Evaluation of loss of investment portfolio at investing pension funds

Vol. 12, Iss. 6, FEBRUARY 2013

Available online: 17 February 2013

Subject Heading: Economic-mathematical modelling

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Fedorova E.A. PhD in Economic Sciences, Associate Professor, Department "Financial and Investment Management", the Financial University under the Government of the Russian Federation
ecolena@mail.ru

Sivak A.R. Engineer, Department of Continuing Education Training, the National Research Nuclear University "MEPhI"vaplaksa@mail.ru

The method of formation of investment strategy in the Russian stock market, having the minimum losses is offered. In the article seven investment portfolios, the Russian companies consisting of actions and the state short-term bonds of a federal loan of the Russian Federation are formed. Dependence of average losses of a portfolio on its structure ( -coefficient) is received.

Keywords: Fama's model - the Service jacket, CAPM model, tangent portfolio, average losses

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

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