Importance The article considers opportunities and challenges of market risk management in the real sector of the Russian economy through hedging. Impossibility to find a tool to compensate risk forces investors to look for other ways of risk management, and stock exchanges lose an opportunity for growth due to the presence of hedgers. Objectives The aim is to find ways to use hedging in the non-financial sector of the Russian economy, to study theoretical background of applying financial instruments for market risk reduction under conditions of limited choice. Methods The portfolio hedging is a method to overcome the existing limitation. Developed mathematical tools in the regression analysis enables to create a portfolio of assets for effective management of market risk. Results The paper presents a synthetic instrument capable to offset a significant portion of price risk. The achieved results show a high efficiency and wide scope of application of the portfolio approach in financial risk management. The designed hedging portfolio will significantly enhance the key indicator of the hedging instrument. Relevance The portfolio hedging has no industry boundaries and can be successfully applied in any fields of activity. The method may also be applied in areas other than risk management, such as arbitrage trading on stock exchange. Distribution of the statistical analysis software makes this type of analysis accessible to all.
Bogomolova L.L. [Methodological approaches to analysis and evaluation of balance sheet and enterprise performance liquidity]. Ekonomika i Sotsium, 2014, no. 4, pp. 629–636. (In Russ.) Available at: Link.
Kotyuzhanskii M.A. [The impact of leverage and credit on the financial cycle]. Bankovskoe delo = Banking, 2013, no. 10, pp. 35–39. (In Russ.)
Yankina I.A., Spiridonov E.E. [A methodology for market risk management at non-financial enterprises]. Nauchnoe obozrenie = Science Review, 2015, no. 17, pp. 361–365. (In Russ.)
Burenin A.N. Khedzhirovanie f'yuchersnymi kontraktami Fondovoi birzhi RTS [Hedging by futures contracts of the RTS Stock Exchange]. Moscow, Nauchno-tekhnicheskoe obshchestvo imeni akademika S.I. Vavilova Publ., 2009, 174 p.
Astapov K.L. [Development of the derivatives market in the Russian Federation in the context of the G-20 decisions]. Den'gi i kredit = Money and Credit, 2013, no. 6, pp. 59–64. (In Russ.)
Mechik S.V. [A portfolio approach to investing by business entities]. Ekonomika i predprinimatel'stvo = Economy and Entrepreneurship, 2015, no. 10-1, pp. 1174–1177. (In Russ.)
Markowitz H. Portfolio Selection. The Journal of Finance, 1952, vol. 7, no. 1, pp. 77–91.
Omarova Z.N. [Diversification as a method of rational risk management]. Molodoi uchenyi = Young Scientist, 2015, no. 21, pp. 423–431. (In Russ.)
Batyrmurzaeva Z.M. [A concept, classification of investment risk and methods to reduce it]. Ekonomika i predprinimatel'stvo = Economy and Entrepreneurship, 2014, no. 11-3, pp. 555–557. (In Russ.)
Semenkova E.V., Grushin M.Yu. T[Trends in the commodity futures market development in the Russian Federation]. Ekonomika i predprinimatel'stvo = Economy and Entrepreneurship, 2015, no. 5-2, pp. 989–993. (In Russ.)
Antonov V.A. [Assessing the regression model adequacy based on errors in experimental measurements]. Al'manakh sovremennoi nauki i obrazovaniya = Almanac of Modern Science and Education, 2014, no. 11, pp. 27–32. (In Russ.)
Davnis V.V. [Using a regression model in factor analysis of risks]. Sovremennaya ekonomika: problemy i resheniya = Modern Economy: Problems and Solutions, 2011, no. 8, pp. 96–102. (In Russ.)
Forster E., Rontz B. Metody korrelyatsionnogo i regressionnogo analiza [Methoden der Korrelation und Regressiolynsanalyse]. Moscow, Finansy i Statistika Publ., 1983, 304 p.
Strizhov V.V., Krymova E.A. Metody vybora regressionnykh modelei [Methods of selecting regression models]. Moscow, Computing Center of RAS Publ., 2010, 60 p.
Orlova I.V., Filonova E.S. [The choice of exogenous factors in the regression model with multicollinearity of data]. Mezhdunarodnyi zhurnal prikladnykh i fundamental'nykh issledovanii = International Journal of Applied and Fundamental Research, 2015, no. 5, pp. 108–116. (In Russ.)
Fatkhullina L.I. [Market risk hedging]. Ekonomika i upravlenie XXI veke: tendentsii razvitiya = Economics and Management in 21st Century: Development Trends, 2013, no. 12, pp. 222–227. (In Russ.)
Polteva T.V., Dedkova A.A. [Arbitration and hedge strategies and problems of their use in the Russian market]. Azimut nauchnykh issledovanii: ekonomika i upravlenie = ASR: Economics and Management, 2014, no. 4, pp. 74–76. (In Russ.)
