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PORTFOLIO OPTIMIZATION BASED ON A SCORING MODEL

Annotation

This model allows us not only to generate optimal portfolio of securities, but also to monitor due to changes in stock market trends. The model is based on the scoring model. Scoring is the process of estimating, construction of ranking and selection of rating classes of certain objects within a homogeneous group based on the calculation of complex estimate for each object, taking into account quantitative and qualitative factors affecting the quality of the object, and the importance of these factors for the decision makers. Estimated scoring model provides a comprehensive account of factors directly and indirectly affect the attractiveness of securities, including liquidity and fundamentals of the issuers. On the example of the Russian stock market formed an optimal portfolio of securities.

Keywords

portfolio of securities; scoring model; profitability; risk; liquidity; Russian stock market; aggregate

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UDC

517.86

Pages

1397-1400

References

1. Nedosekin A.O. Nechetko-mnozhestvennyy analiz riska fondovykh investitsiy. SPb., 2002. 181 s. 2. Skoring otsenka zaemshchikov - fizicheskikh lits [Elektronnyy resurs]. Rezhim dostupa: http://www.franklin-grant.ru/ru/services/banks-scoring-consumer.asp. (data obrashcheniya 30.04.2015) 3. Sinyakovskaya O.A. Modeli i metodiki mnogokriterial'noy portfel'noy optimizatsii. Mn.: BGEU, 2007.

Received

2015-05-10

Section of issue

Scientific articles

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