IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-030-26284-6_10.html
   My bibliography  Save this book chapter

Constructing a Risky Optimal Mean/Value-at-Risk Portfolio

In: Global Economics and Management: Transition to Economy 4.0

Author

Listed:
  • O. L. Kritski

    (Tomsk Polytechnic University)

  • O. A. Belsner

    (Tomsk Polytechnic University)

Abstract

The investigation of the impact of Value-at-risk Value at risk measure on the size of total capital and shares in the optimal risky portfolio is necessary for revising the classical approach of Markovitz and for adapting it to the modern requirements in the banking and financial sectors. In a classical way it is impossible to construct a portfolio when structural changes in the stock market happened, or as the same, when a long fall in prices is replaced by steady growth. The present work is devoted to the study of the risky portfolio construction using the Value-at-risk Value at risk measure. Within this investigation, two portfolios are constructed according to the classical MarkowitzMarkowitz method algorithm and the Benati–Rizzi methodBenati-Rizzi method with mixed-integer linear programming algorithm. The sample alpha and beta coefficients are estimated; the riskiness and profitability of passive portfolio investments are calculated. The comparison of returns and values of such portfolios of shares included in Moscow index MICEX-10 was carried out.

Suggested Citation

  • O. L. Kritski & O. A. Belsner, 2019. "Constructing a Risky Optimal Mean/Value-at-Risk Portfolio," Springer Proceedings in Business and Economics, in: Mikhail Kaz & Tatiana Ilina & Gennady A. Medvedev (ed.), Global Economics and Management: Transition to Economy 4.0, chapter 0, pages 103-111, Springer.
  • Handle: RePEc:spr:prbchp:978-3-030-26284-6_10
    DOI: 10.1007/978-3-030-26284-6_10
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    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:spr:prbchp:978-3-030-26284-6_10. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.