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ИД «Финансы и кредит»






Finance and Credit

A model for optimizing an investment portfolio in modern conditions

Vol. 30, Iss. 6, JUNE 2024

Received: 22 January 2024

Received in revised form: 5 February 2024

Accepted: 19 February 2024

Available online: 28 June 2024

Subject Heading: THEORY OF FINANCE

JEL Classification: G11

Pages: 1274-1289


Artur Yu. ABUZOV Samara State University of Economics (SSEU), Samara, Russian Federation


Subject. This article discusses the issues of improving the methodology for optimizing an investment portfolio in modern conditions.
Objectives. The article aims to develop a model for optimizing the investment portfolio, taking into account the investor's risk profile and the limited budget.
Methods. For the study, I used a comparative analysis, mathematical modeling in economics, machine learning methods, genetic algorithms, and the Python programming language.
Results. The article presents the author-developed model of optimizing the investment portfolio of an enterprise, based on the symbiosis of individual elements and principles of the most effective methods of optimizing the investment portfolio, algorithms for their implementation, mathematical model and practical recommendations.
Conclusions and Relevance. The combination of classical methods of investment portfolio optimization and machine learning in the model helps improve the accuracy of assessing the future return of assets and determine their weights in the investor's portfolio. The theoretical significance of the work lies in the fact that the scientific provisions that actualize the task of improving existing or developing new approaches to optimizing the investment portfolio are proved. The practical significance of the study lies in the fact that the presented model is of an applied nature, taking into account the risk profile of the investor, tactical and strategic goals of investment, and budget constraints. The results of the study may be of interest to novice stock market participants, experienced investors, IT specialists engaged in the creation of programs and robots for trading on the stock market using machine learning tools.

Keywords: investment portfolio optimization, mathematical model, machine learning, modern portfolio theory, genetic algorithm


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

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Vol. 30, Iss. 6
June 2024