Abstracting and IndexingРИНЦ
Referativny Zhurnal VINITI RAS
Development of methodology of portfolio construction in equity market
Available online: 18 November 2010
Subject Heading: Stock market
In article conceptual, analytical and methodological problems of practical use of model CAPM in problems of estimation of cost of capital are considered. It is especially important and actual in current conditions when the Bank of Russia has started carrying out of operations with actions at stock exchange for which the problem of definition of fair cost gets practical value. The special attention is given effect of high elasticity of cost of a portfolio of securities to structure of an index portfolio. The method of estimation of cost of the capital in the conditions of unknown structure of an index portfolio is offered.
Keywords: valuation, CAPM model, cost of capital, index portfolio
ISSN 2311-8709 (Online)