Numerical algorithms for optimal Markowitz portfolio rapid calculation
( Pp. 81-89)
More about authors
Lyndin Kirill A.
Financial University under the Government of the Russian Federation
Financial University under the Government of the Russian Federation
Abstract:
This article is devoted to the problem of choosing an effective method of portfolio generating for the Markowitz portfolio theory model. The main task is to find the method that is least demanding on computing power and provides the widest possible distribution of shares in portfolios. Several methods for achieving the task are considered and their assessment is carried out. As a result of the study, the most effective approach to portfolio generation was the method of calculating each subsequent share of paper in the portfolio, taking into account the previous one. An analysis of the distribution of shares and the rate of calculation of this method was carried out, and a way for improving was proposed.
How to Cite:
Lyndin K.A., (2020), NUMERICAL ALGORITHMS FOR OPTIMAL MARKOWITZ PORTFOLIO RAPID CALCULATION. Economic Problems and Legal Practice, 3 => 81-89.
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Krivonogova, L. V. Portfel naya teoriya Markovitsa / Krivonogova L. V., Sidneva A. S. // Forum molodykh uchenykh. - 2018. - 12-2. - 1205-1208 c.
Gilyev, D. YU. Primenenie razlichnykh metodik optimizatsii investitsionnogo portfelya v sootvetstvii s sovremennoy portfel noy teoriey / Gilev D. YU. // Potentsial sovremennoy nauki. - 2016. - 3. - 87-94 s.
ZHdanova, O. A. Razvitie portfel nykh teoriy: modeli optimizatsii investitsionnogo portfelya / ZHdanova O. A., Nazarova E. V. // Nauka i innovatsii v XXI veke: aktual nye voprosy, dostizheniya i tendentsii razvitiya: sb. statey. - Moskva, 2016. - 55-58 s.
Ulanov, D. A. Algoritmy poiska global nykh ekstremumov modeli optimizatsii portfelya Markovitsa / Ulanov D. A., Lyndin K. A. // Problemy ekonomiki i yuridicheskoy praktiki. - 2020. - 2. - 166-169.
Rodina, N. S. Osnovnaya kontseptsiya portfel nogo analiza Markovitsa / Rodina, N. S. // Vestnik nauki. - 2019. - 5. - 77-79 s.
Dobrina, M. V. Problema vybora portfelya tsennykh bumag / Dobrina M. V. // Ekonomika v investitsionno-stroitel nom komplekse i ZHKKH. - 2018. - 1. - 162-165 s.
Skobleva E. I. Teoreticheskie podkhody k issledovaniyu finansovykh rynkov / Skobleva E. I., Lunev D. A. // Kaspiyskiy region: politika, ekonomika, kul tura. - 2012. - 2. - 166-173 s.
Sivolotskiy, K. A. Osnovnye metody otsenki ekonomicheskoy effektivnosti investitsionnykh proektov / Sivolotskiy K. A., Zaytsev S. F. // Nauka i tekhnologii truboprovodnogo transporta nefti i nefteproduktov. - 2012. - 3. - 40-45 s.
Vinokur, I. R. Portfel nyy podkhod k upravleniyu aktivami / Vinokur I. R., TSvetkova A. V // Vestnik Permskogo natsional nogo issledovatel skogo politekhnicheskogo universiteta. Sotsial no-ekonomicheskie nauki. - 2017. - 4. - 234-245 s.
Tedeeva, I. V. Otsenka portfel noy teorii Garri Markovitsa / Tedeeva I. V. // Sovremennaya ekomika: aktual nye voprosy, dostizheniya i innovatsii: sb. statey., Penza, 2019. - 92-95 s.
Savchenko, N. I. Formirovanie portfel nykh investitsiy / Savchenko N. I. // Sovremennye problemy razvitiya tekhniki, ekonomiki i obshchestva. - Leninogorsk, 2016. - 213-215.
Solov ev, V. I. Matematicheskie metody upravleniya riskami / Solov ev V. I. // izd-vo Gosudarstvennyy universitet upravleniya. - Moskva, 2003. - 100 s.
Ivanyuk, V. A. Postroenie investitsionnogo portfelya minimal nogo riska na finansovom rynke / Ivanyuk V. A. // Samoupravlenie. - 2019. - 3. - 126-129 s.
Keywords:
limitation of risk and profitability, effective portfolio, indifference curves, search for efficient frontier.
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