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Methodology for Constructing an Experimental Investment Strategy Formed in Crisis Conditions

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  • Vera Ivanyuk

    (Department of Data Analysis and Machine Learning, Financial University under the Government of the Russian Federation, 125167 Moscow, Russian)

Abstract

This article proposes a neoclassical stock market portfolio based on the principles of dynamic response and constant adaptation to the market. The construction of a neoclassical investment portfolio begins with the conceptual development of an adaptive investment strategy. We suggest an algorithm for creating an adaptive investment portfolio. The conceptual model of the investment strategy is presented including the following mandatory components: evaluation, forecasting, investment, and adaptation. This model has the ability to adapt both in normal and in crisis periods of the market. As a description of the forecasting component, an additive mathematical model of the predictive ensemble is used, including seasonal, regression, and shock elements as well as a neural network.

Suggested Citation

  • Vera Ivanyuk, 2022. "Methodology for Constructing an Experimental Investment Strategy Formed in Crisis Conditions," Economies, MDPI, vol. 10(12), pages 1-19, December.
    • Handle: RePEc:gam:jecomi:v:10:y:2022:i:12:p:325-:d:1006134
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    References listed on IDEAS

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    6. Vera Ivanyuk, 2021. "Modeling of Crisis Processes in the Financial Market," Economies, MDPI, vol. 9(4), pages 1-17, October.
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