The Development of Strategy for Stock Portfolio Optimization in Oil and Gas Sector
https://doi.org/10.38050/01300105201724
Abstract
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.
About the Author
Yu. B. Gurvits
Moscow state University named after M. V. Lomonosov
Russian Federation
Russian Federation
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Review
For citations:
Gurvits Yu.B. The Development of Strategy for Stock Portfolio Optimization in Oil and Gas Sector. Moscow University Economics Bulletin. 2017;(2):65-89. (In Russ.) https://doi.org/10.38050/01300105201724
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