Особенности конструирования портфеля финансовых инструментов на основе оценки бета-коэффициентов

Abstract

The article focuses on a variant of the development of the classical portfolio theory based on coefficients. The role of beta coefficients in financial decisionmaking is analyzed, and a portfolio optimization option is presented in the form of a linear programming problem with respect to the price shares of financial instruments acting as variables. Special attention is paid to the mathematical approaches underlying portfolio theory. Such approaches include statistical analysis to assess the expected profitability and coefficients of various financial instruments, as well as optimization methods to determine the optimal balance between the profitable and risky characteristics of the portfolio. Due to the choice of various options for the value of the beta coefficient of the portfolio, the fundamental possibility of designing optimal portfolios taking into account investment goals, risk level and desired profitability is demonstrated. Three investment strategies have been formulated based on the inclusion in the portfolio of financial instruments with high coefficient values; inclusion in the portfolio of financial instruments with low coefficient values and inclusion in the portfolio of financial instruments with average coefficient values. Based on real financial data, the differences in financial results resulting from the choice of each of these strategies are demonstrated. From a methodological point of view, the material of the article can be useful for improving the content of mathematical disciplines related to the quantitative justification of financial decisions.