Factor models in investments and income forming processes
2015
Sidnyaev, N.I., Bauman Moscow State Technical Univ. (Russian Federation)
In the article it is described a modern theory of securities portfolio forming. It is offered methods helping the investor to choose his optimum portfolio from an infinite number of possible ones the investor is offered to estimate its expected yields and standard deviation together with all covariations between these securities to solve of a matter on inclusion of each considered security in a portfolio. These estimations help the investor to define a curve of effective Markowitz set. In risk-free rate the investor can find a «tangent» portfolio and define position of linear effective set, as well as he can invest into this «tangent» portfolio and make a loan or give a credit on risk-free rate. Therefore the loan or credit sum depends on preferences of the investor concerning a parity of risk and profitability.
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