Theory of Probability and Mathematical Statistics

Comparative analysis of two portfolio construction methods

O. I. Sidorova, L. G. Perevalova, M. S. Voevodina

Tver State University, Tver

Abstract: In this article we compare two different approaches to the optimal portfolio construction: the Markowitz model and the market model. We analyse the Russian stock market for the period 03.01.2019-24.03.2021 and choosing among the securities depending on the investor’s risk preferences. Comparative study of the portfolios are based on their profitability, risk, and VaR. Stability analysis is carried out by statistical modeling.

Keywords: optimal portfolio, Markowitz model, single index model, return, risk, VaR.

UDC: 519.216

Received: 25.03.2021
Revised: 15.04.2021

DOI: 10.26456/vtpmk608

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