msueconВестник Московского университета. Серия 6. ЭкономикаLomonosov Economics Journal0130-0105MSUPRESS10.38050/01300105201724msuecon-401Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL STUDIESРазработка стратегии оптимизации портфеля акций компаний нефтегазового сектораThe Development of Strategy for Stock Portfolio Optimization in Oil and Gas SectorГурвицЮ. Б.GurvitsYu. B.y.b.gurvits@gmail.comМГУ имени М. В. ЛомоносоваРоссияMoscow state University named after M. V. LomonosovRussian Federation201707042021026589Copyright © Гурвиц Ю.Б., 20212021Гурвиц Ю.Б.Gurvits Y.B.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://msuecon.elpub.ru/jour/article/view/401

В статье представлен анализ традиционных и современных методов оптимизации портфеля, таких как математическое программирование, генетический алгоритм, критерий приоритета, нахождение весов акций пропорционально рыночной капитализации компаний и их финансовых коэффициентов. На основе данные биржевых торгов с 2010 по 2015 г. при помощи эконометрического аппарата были разработаны стратегии эффективного отбора акций в портфель, базирующиеся на комплексном анализе как функций распределения временных рядов, так и фундаментальных показателей деятельности эмитентов.

The article provides the analysis of traditional and modern methods of portfolio optimization, such as mathematical programming, genetic algorithm, the priority index and finding the weights of the shares in proportion to market capitalization and financial ratios. The author has developed the new econometric methods of stock portfolio formation based on comprehensive analysis of distribution functions and the key financial ratios of companies. The optimization strategies were tested for efficiency on data for the period from 2010 to 2015.

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The authors declare that there are no conflicts of interest present.