Abstract:
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. For example, the Russian stock market formed the optimal portfolios based on the model of Markowitz, Sharpe, Estrada, Nedosekina fuzzy formulation of the problem and the scoring model of Siniavskaya, and a comparative analysis of portfolios.
Keywords:scoring model, profitability, risk, liquidity, the Russian stock market, aggregate, portfolio of securities.
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