THE INFLUENCE OF THE PORTFOLIO STRUCTURE TO THE INVESTOR’S DECISIONS: ADDING A RISKFREE ASSET

This study has the right to select securities that have a high risk of being included in the portfolio structure. High-security securities will offer a high rate of return. Portfolios by choosing high-risk securities that are advantageously seen from the investor's perspective.The object of this study is the Indonesian Stock Exchange. The data needed are price data for the Composite Stock Price Index (CSPI) from 2014 to 2017. The analysis of the technique used is beta estimation as a measure of risk with the historical beta method. While the analysis to test the difference in stock returns with historical beta and accounting accounts using the Paired Sample T statistical test. The results are that there are no differences in stock returns with historical beta and accounting beta from companies that go public on the Indonesia Stock Exchange (IDX).

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Application of mathematical modeling in creating investment portfolio of commercial bank

VESTNIK OF ASTRAKHAN STATE TECHNICAL UNIVERSITY SERIES ECONOMICS ◽

10.24143/2073-5537-2019-4-112-119 ◽

2019 ◽

Vol 2019 (4) ◽

pp. 112-119

Author(s):

Olga Mikhailovna Markova

Keyword(s):

Stock Returns ◽

Commercial Bank ◽

Portfolio Assessment ◽

Investment Strategy ◽

Risk Minimization ◽

Investment Activity ◽

Capital Growth ◽

Banking Business ◽

Stock Portfolio ◽

Portfolio Structure

The article touches upon the most urgent problem of creating the stock portfolio of a commercial bank, where studying the strategies and tools of the bank’s investment activity and using mathematical models for its assessment help to identify the relationship between profitability and the risk of investing in securities. As a result of applied analysis and modeling of the portfolio structure, the optimal portfolio option is selected, which corresponds to a given level of risk and profitability, as well as to the investment strategy chosen by the bank. There has been analyzed the portfolio structure with specified characteristics of risk and profitability, according to the statistics of previous years. The types of documents have been systematized according to the compliance with the strategy of managing the portfolio of profitability growth, liquidity and risk minimization. Using the models of Markowitz, Tobin and other researchers of probabilistic portfolio assessment through covariance indicators and a correlation coefficient, there have been found the values of return on assets that can change in one direction or have a multidirectional nature, and allow to calculate dependence between the values of return on securities in the portfolio. There have been considered the following models: a portfolio model based on calculating the level of stock returns of LUKOIL JSC, Novatek JSC, Yandex; a portfolio model that includes risk-free assets with the highest level of reliability (government short-term bonds, federal loan bonds); capital asset pricing model which describes dependency between the risk and the required profitability. Based on these calculations there has been inferred the possibility of developing specific areas of the banking business in the field of securities transactions, including: saving funds (providing protection against inflation); capital growth (focus on the securities that have the potential for growth in market value); profitability (purchasing securities in order to obtain dividends on shares and interest on debt securities); liquidity (investments into financial tools that can be sold at any time at favorable prices); risk minimization. The results of the conducted analysis of correlation and regression of the securities portfolio have revealed the most preferred types of securities for growing profitability that are in the bank's portfolio: shares of the Russian oil company LUKOIL, the Russian gas company Novatek, Yandex cIA, as well as the federal loan bonds (based on the terms of calculating history dynamics since May 1, 2018 up to May 1, 2019)

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