IDEAS home Printed from https://ideas.repec.org/a/ids/ijcome/v4y2014i1-2p32-81.html
   My bibliography  Save this article

Modelling financial returns and portfolio construction for the Russian stock market

Author

Listed:
  • Alexey I. Balaev

Abstract

In this paper, we consider multivariate models for returns on Russian equities based on normal distribution, t-distribution with scalar degrees of freedom parameter and t-distribution with vector degrees of freedom parameter. Our models capture autocorrelation, volatility clustering, dynamic links among equity returns and their volatilities, as well as the heavy tails of marginal distributions. Multivariate t-distribution with vector degrees of freedom parameter is a recent generalisation of the classic multivariate t-distribution and in the present paper it is applied to Russian financial data for the first time. Using our multivariate models we construct financial portfolios with conditional minimum variance and conditional maximum expectation of return. We compare optimised portfolios according to the risk and benefit of investment and analyse how the results of this comparison depend on the liquidity of equities involved.

Suggested Citation

  • Alexey I. Balaev, 2014. "Modelling financial returns and portfolio construction for the Russian stock market," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 4(1/2), pages 32-81.
  • Handle: RePEc:ids:ijcome:v:4:y:2014:i:1/2:p:32-81
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=60289
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pinkovetskaia Iuliia & Slepova Vladislava, 2018. "Estimation of Fixed Capital Investment in SMEs: the Existing Differentiation in the Russian Federation," Business Systems Research, Sciendo, vol. 9(1), pages 65-78, March.
    2. J. Pinkovetskaya & ЮЛИЯ Пиньковецкая СЕМЕНОВНА, 2016. "Анализ Отраслевой Локализации Малого И Среднего Предпринимательства В Регионах // Industrial Localization Analysis Of Small And Medium Entrepreneurship In The Regions," Управленческие науки // Management Science, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 6(2), pages 70-82.
    3. Iuliia S. Pinkovetskaia & Irina N. Nikitina & Tatiana V. Gromova, 2018. "The Role of Small and Medium Entrepreneurship in the Economy of Russia," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 14(3), pages 177-188.
    4. Fantazzini, Dean, 2014. "Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'," MPRA Paper 55430, University Library of Munich, Germany.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijcome:v:4:y:2014:i:1/2:p:32-81. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=311 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.