Abstract
Purpose: To develop an optimal portfolio of securities built upon consideration of the effects of globalization. Main arguments: For such portfolio to be developed, a complex solution based on the econometric approach first applied by W.F. Sharpe in his diagonal model is needed. If we assume that globalization influences market indicators, we can use them to identify a set of orthogonal factors as principal components. We could use a description of globalization based on Sharpe’s methodology to build a model of portfolio, were it not for the incongruence between the level of measurement of profitability of principal components and that of financial assets. Our hypothesis is that this problem of incongruence can be solved by using a two-level mechanism of profitability formation which considers the effects of globalization on the market and, by extension, on assets. Main results: A model of securities portfolio based on a two-level mechanism of reproduction of the effects of globalization allows us to conclude that globalization influences profitability of assets indirectly, through its impact on the average profitability of the national market. In other words, portfolio risks are lower if a portfolio is built upon consideration of the effects of globalization.
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