DOI: https://doi.org/10.15587/2312-8372.2018.145730

Analysis of modern approaches to the formation of the portfolio investor shares stock

Ekaterina Kievskaya

Abstract


The object of research is an investment portfolio consisting of a set of investment instruments (securities, assets, projects, etc.) in which the investor's finances are distributed. The main purpose of forming an investment portfolio is its maximum return, but income is always directly proportional to risk. The paper proposes an approach in which the user can manage the values of profitability and risk, and thus determine for himself the optimal composition of the investment portfolio. This is achieved by using a combination of financial asset valuation methods.

The study used models that are the basis of portfolio theory and include the choice of investment assets and the optimization of the composition of the portfolio, methods for assessing the investment qualities of assets and the effectiveness of portfolio investment. In particular, Markowitz, Sharpe and Tobin models are used to ensure greater efficiency in making investment decisions in the stock market, including those related to the formation and management of the share portfolio. And in assessing the investment qualities of financial assets.

Tests of the method and models on real investment assets have confirmed their effectiveness. In particular, when forming a portfolio of shares, it is determined that the maximum profitability is ensured in the investment portfolio, which is characterized by the maximum risk. Compared to other variants of portfolios with average and minimum returns, it is determined that the value of risks differ by 3–5 %. This is due to the fact that the proposed method is based on a combination of models that take into account various aspects of the stock market. Thus, an optimal portfolio is formed that provides the investor with the desired level of profitability at a fixed level of risk.

The results obtained in this work allow to propose a general methodology for the formation of an optimal investment portfolio containing various shares of the most reliable and attractive financial assets in the conditions of modern uncertainty and volatility of the Ukrainian stock market.


Keywords


investment portfolio; portfolio investment; shareholding; investment company

References


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Vorobiov, Yu. M., Vorobets, T. I. (2012). Suchasni tendentsii rozvytku finansovoho investuvannia na fondovomu rynku Ukrainy. Investytsii: praktyka ta dosvid, 22, 9–12.

Kurmaiev, P. Yu., Bayramov, E. (2017). A Current trends of financing of innovative activity entities in Ukraine. Naukovyi visnyk Polissia, 2 (10 (1)), 55–62.

Dobrova, N. V. (2013). Infrastruktura pidtrymky maloho pidpryiemnytstva v Ukraini ta na rehionalnomu rivni. Naukovyi visnyk. Odeskyi natsionalnyi ekonomichnyi universytet, 18 (197), 97–106.

Kerr, W. R., Nanda, R. (2015). Financing Innovation. Annual Review of Financial Economics, 7 (1), 445–462. doi: http://doi.org/10.1146/annurev-financial-111914-041825

Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7 (1), 77–91. doi: http://doi.org/10.1111/j.1540-6261.1952.tb01525.x

Aleksander, G., Beyli, Dzh., Sharp, U. (2015). Investitsii. Seriya «Universitetskiy uchebnik». Moscow: Infa, 1028.

Kheirollah, A., Bjarnbo, О. (2007). A Quantitative Risk Optimization of Markowitz Model: An Empirical Investigation on Swedish Large Cap List, Master. Thesis in Mathematics/Applied Mathematics, University Sweden, Department of Mathematics and Physics, 73.

Li, X., Xu, Z. Q. (2016). Continuous-time Markowitz’s model with constraints on wealth and portfolio. Operations Research Letters, 44 (6), 729–736. doi: http://doi.org/10.1016/j.orl.2016.09.004

Vasanthi, B., Arumugam, S., Nagar, A. K., Mitra, S. (2015). Applications of Signed Graphs to Portfolio Turnover Analysis. Procedia Social and Behavioral Sciences, 211, 1203–1209. doi: http://doi.org/10.1016/j.sbspro.2015.11.160

Kabaivanov, S., Milev, M., Markovska, V. (2013). Application of Path Simulation Techniques in Derivative Pricing. Trakia Journal of Sciences, 9 (2), 302–309.

Marchev, Jr. A., Marchev, A. (2012). Selecting and Simulating Models for Management of Investment Portfolios Using Cybernetic Approach. Economic Alternatives, 2, 28–64.

Amin, F. A. M., Yahya, S. F., Ibrahim, S. A. S., Kamari, M. S. M. (2018). Portfolio risk measurement based on value at risk (VaR). Proceeding of the 25th national symposium on mathematical sciences (sksm25): Mathematical Sciences as the Core of Intellectual Excellence. doi: http://doi.org/10.1063/1.5041543

David Cabedo, J., Moya, I. (2003). Estimating oil price “Value at Risk” using the historical simulation approach. Energy Economics, 25 (3), 239–253. doi: http://doi.org/10.1016/s0140-9883(02)00111-1

Spuchľakova, E., Michalikova, K. F., Misankova, M. (2015). Risk of the Collective Investment and Investment Portfolio. Procedia Economics and Finance, 26, 167–173. doi: http://doi.org/10.1016/s2212-5671(15)00910-7

Atkinson, R. D. (2013). Competitiveness, Innovation and Productivity: Clearing up the Confusion. Washington: The Information Technology & Innovation Foundation, 74.

Kostiuk, A. K., Boiarynova, K. O. (2011). Innovatsiinyi rozvytok pidpryiemstv: ekonomichni umovy, problemy ta perspektyvy. Aktualni problemy ekonomiky ta upravlinnia, 5, 50–57.

Naukova ta innovatsiina diialnist Ukrainy (2016). Kyiv: Derzhavna sluzhba statystyky, 257.


GOST Style Citations


Tsyhaniuk D. L. Portfelne investuvannia na ukrains  komu fondovomu rynku // Ukrainska akademiia bankivskoi spravy. 2007. URL: http://uabs.edu.ua/images/stories/docs/K_M/Tsyhaniuk_2.pdf (Last accessed: 15.04.2018)

Vorobiov Yu. M., Vorobets T. I. Suchasni tendentsii rozvytku finansovoho investuvannia na fondovomu rynku Ukrainy // Investytsii: praktyka ta dosvid. 2012. Issue 22. P. 9–12.

Kurmaiev P. Yu., Bayramov E. A Current trends of financing of innovative activity entities in Ukraine // Naukovyi visnyk Polissia. 2017. Issue 2 (10 (1)). P. 55–62.

Dobrova N. V. Infrastruktura pidtrymky maloho pidpryiemnytstva v Ukraini ta na rehionalnomu rivni // Naukovyi visnyk. Odeskyi natsionalnyi ekonomichnyi universytet. 2013. Issue 18 (197). P. 97–106.

Kerr W. R., Nanda R. Financing Innovation // Annual Review of Financial Economics. 2015. Vol. 7, Issue 1. P. 445–462. doi: http://doi.org/10.1146/annurev-financial-111914-041825 

Markowitz H. Portfolio selection // The Journal of Finance. 1952. Vol. 7, Issue 1. P. 77–91. doi: http://doi.org/10.1111/j.1540-6261.1952.tb01525.x 

Aleksander G., Beyli Dzh., Sharp U. Investitsii. Seriya «Universitetskiy uchebnik». Moscow: Infa, 2015. 1028 p.

Kheirollah A., Bjarnbo О. A Quantitative Risk Optimization of Markowitz Model: An Empirical Investigation on Swedish Large Cap List, Master // Thesis in Mathematics/Applied Mathematics, University Sweden, Department of Mathematics and Physics. 2007. Р. 73.

Li X., Xu Z. Q. Continuous-time Markowitz’s model with constraints on wealth and portfolio // Operations Research Letters. 2016. Vol. 44, Issue 6. P. 729–736. doi: http://doi.org/10.1016/j.orl.2016.09.004 

Applications of Signed Graphs to Portfolio Turnover Analysis / Vasanthi B. et. al. // Procedia – Social and Behavioral Sciences. 2015. Vol. 211. P. 1203–1209. doi: http://doi.org/10.1016/j.sbspro.2015.11.160 

Kabaivanov S., Milev M., Markovska V. Application of Path Simulation Techniques in Derivative Pricing // Trakia Journal of Sciences. 2013. Vol. 9, Issue 2. P. 302–309.

Marchev Jr. A., Marchev A. Selecting and Simulating Models for Management of Investment Portfolios Using Cybernetic Approach // Economic Alternatives. 2012. Vol. 2. P. 28–64.

Portfolio risk measurement based on value at risk (VaR) / Amin F. A. M. et. al. // Proceeding of the 25th national symposium on mathematical sciences (sksm25): Mathematical Sciences as the Core of Intellectual Excellence. 2018. doi: http://doi.org/10.1063/1.5041543 

David Cabedo J., Moya I. Estimating oil price “Value at Risk” using the historical simulation approach // Energy Economics. 2003. Vol. 25, Issue 3. P. 239–253. doi: http://doi.org/10.1016/s0140-9883(02)00111-1 

Spuchľakova E., Michalikova K. F., Misankova M. Risk of the Collective Investment and Investment Portfolio // Procedia Economics and Finance. 2015. Vol. 26. P. 167–173. doi: http://doi.org/10.1016/s2212-5671(15)00910-7 

Atkinson R. D. Competitiveness, Innovation and Productivity: Clearing up the Confusion. Washington: The Information Technology & Innovation Foundation, 2013. P. 74.

Kostiuk A. K., Boiarynova K. O. Innovatsiinyi rozvytok pidpryiemstv: ekonomichni umovy, problemy ta perspektyvy // Aktualni problemy ekonomiky ta upravlinnia. 2011. Issue 5. P. 50–57.

Naukova ta innovatsiina diialnist Ukrainy. Kyiv: Derzhavna sluzhba statystyky, 2016. 257 p.







Copyright (c) 2018 Ekaterina Kievskaya

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ISSN (print) 2226-3780, ISSN (on-line) 2312-8372