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

O. L. Kritski () and O. A. Belsner
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O. L. Kritski: Tomsk Polytechnic University
O. A. Belsner: Tomsk Polytechnic University

Chapter Chapter 10 in Global Economics and Management: Transition to Economy 4.0, 2019, pp 103-111 from Springer

Abstract: 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.

Keywords: Value at risk; Portfolio management; Benati–Rizzi method; Markowitz method (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-26284-6_10

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DOI: 10.1007/978-3-030-26284-6_10

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