Finance and Credit

Abstracting and Indexing

РИНЦ
Referativny Zhurnal VINITI RAS
Worldcat
LCCN Permalink
Google Scholar

Online available

Eastview
eLIBRARY.RU
Biblioclub

Home

Journals

Finance and Credit

36(564) - 2013 September

Optimization of portfolio of financial instruments

Vol. 19, Iss. 36, SEPTEMBER 2013

Available online: 26 September 2013

Subject Heading: Stock market

JEL Classification:

Kritsky O.L. PhD of Physical and Mathematical Sciences, Associate Professor, the Department of Higher Mathematics and Mathematical Physics, the Tomsk Polytechnic University
olegkol@tpu.ru

Belsner O.A. Senior Lecturer, the Department of Higher Mathematics and Mathematical Physics, the Tomsk Polytechnic University
belsner@tpu.ru

In the article the task of formation of an optimum investment portfolio in the conditions of uncertainty with a minimum level of admissible risk is solved. The model, allowing considering heteroscedasticity of basic data and nonstationarity of elements of a correlation matrix is offered. The optimum portfolio from highly liquid Russian securities is created. Dynamics of cost of a portfolio in 2000-2006 is investigated.

Keywords: conditional heteroscedasticity correlation, volatility, multidimensional GARCH models

View all articles of issue

ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 30, Iss. 4

April 2024