Economic Bulletin of the National Mining University


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Article

Issue:2017 №2 (58)
Section:Financial market
UDK:336.767:330.46
Article language:English
Pages:81-85
Title:Integrated model of invesment portfolio optimisation
Authors:Pistunov I. M., Bielkina I. A.
Annotation:An improved synthetic mathematical model of optimal investment portfolio is proposed. Modeling of the optimal securities portfolio of the US energy companies was conducted in order to compare the proposed model with those previously known. Criterion of relative riskiness was developed to combine ratios of risk and profit in order to compare effectiveness of investment portfolio models 
Keywords:Investment portfolio, Stock market, Profitability, Investment risk, Markowitz model, Sharpe model
File of the article:EV20172_081-085.pdf