References

msuecon

Вестник Московского университета. Серия 6. Экономика

Lomonosov Economics Journal

0130-0105

MSUPRESS

10.38050/01300105201754

msuecon-435

Research Article

ФИНАНСОВАЯ ЭКОНОМИКА

FINANCIAL STUDIES

Оптимизация инвестиционного портфеля с декомпозицией риска

Portfolio Optimization with Risk Decomposition

Асатуров

К. Г.

Asaturov

K. G.

kgasaturov@gmail.com

Национальный исследовательский университет «Высшая школа экономики»РоссияNational research University "Higher school of Economics"Russian Federation

2017

07042021

056185

2021

Асатуров К.Г.

Asaturov K.G.

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/435

В работе была предложена модификация стандартной оптимизационной задачи для построения портфеля с возможностью контролировать систематический и специфический риск (портфель с декомпозицией риска). С помощью современных эконометрических моделей были оценены и спрогнозированы динамические альфа и бета акций из модели CAPM, которые затем использовались в портфельной оптимизации. В качестве данных применялись недельные цены закрытия 10 австралийских акций и индекса ASX в качестве рыночного портфеля в период с июля 2000 г. по июль 2016 г. В рамках рассматриваемой выборки с помощью построения рыночно нейтрального портфеля было выявлено отсутствие арбитража на австралийском рынке акций. Анализ показал, что портфели с декомпозицией риска превосходят портфель по Марковицу согласно различным показателям эффективности.

The paper offers the modification of traditional portfolio optimization approach to construct the portfolio with possibility to control both systematic and specific risk (portfolio with risk decomposition). Built on modern econometric tools, the author estimates and forecasts the dynamics of alphas and betas of stocks in the frame of CAPM model , which are further applied for portfolio optimization. The closing weekly prices of 10 Australian stocks and ASX Index as the market index during the period from July 2000 to July 2016 were used. Within the sample there is no evidence of arbitrage on the Australian equity market employing neutral beta portfolio. The study confirms that portfolios with risk decomposition outperform Markowitz’s one according to various performance indicators.

оптимизация портфелябета-нейтральностьдекомпозиция инвестиционного риска

portfolio optimizationbeta-neutralityinvestment risk decomposition

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