Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics]
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Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics], 2021, Issue 1, Pages 48–58
DOI: https://doi.org/10.26456/vtpmk608 (Mi vtpmk608) 		 
Theory of Probability and Mathematical Statistics

Comparative analysis of two portfolio construction methods

O. I. Sidorova, L. G. Perevalova, M. S. Voevodina

Tver State University, Tver
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DOI: https://doi.org/10.26456/vtpmk608
Abstract: In this article we compare two different approaches to the optimal portfolio construction: the Markowitz model and the market model. We analyse the Russian stock market for the period 03.01.2019-24.03.2021 and choosing among the securities depending on the investor’s risk preferences. Comparative study of the portfolios are based on their profitability, risk, and VaR. Stability analysis is carried out by statistical modeling.
Keywords: optimal portfolio, Markowitz model, single index model, return, risk, VaR.
Received: 25.03.2021
Revised: 15.04.2021
Bibliographic databases:
Document Type: Article
UDC: 519.216
Language: Russian
Citation: O. I. Sidorova, L. G. Perevalova, M. S. Voevodina, “Comparative analysis of two portfolio construction methods”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2021, no. 1, 48–58
Citation in format AMSBIB
\Bibitem{SidPerVoe21}
\by O.~I.~Sidorova, L.~G.~Perevalova, M.~S.~Voevodina
\paper Comparative analysis of two portfolio construction methods
\jour Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.]
\yr 2021
\issue 1
\pages 48--58
\mathnet{http://mi.mathnet.ru/vtpmk608}
\crossref{https://doi.org/10.26456/vtpmk608}
\elib{https://elibrary.ru/item.asp?id=46556419}
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