An algorithm for the formation of an optimal portfolio of securities with a restriction on the range of acceptable values of profitability and portfolio risk
- Autores: Ulanov D.A.1
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Afiliações:
- Financial University under the Government of the Russian Federation
- Edição: Volume 16, Nº 3 (2020)
- Páginas: 90-94
- Seção: Articles
- URL: https://journals.eco-vector.com/2541-8025/article/view/532478
- ID: 532478
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Resumo
This article is devoted to the problem of finding the optimal stock portfolio that meets the desired ratio of expected return and risk for the investor. The authors proposed an algorithm that allows you to find many portfolios consisting of various combinations of securities of a given list of companies that meet the conditions of expected profitability and risk set by the investor. According to the results of the study, it was concluded that the proposed method has an advantage over the existing ones and allows improving the quality of fundamental analysis when compiling an investment portfolio.
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Sobre autores
Denis Ulanov
Financial University under the Government of the Russian Federation
Email: ulanovdenis98@gmail.com
Moscow, Russian Federation
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