Abstract

 
 
 The construction of an optimal portfolio of securities is one of the main tasks of managing the financial system, in which individual assets are only a component part. However, each asset also requires a separate study.I gave the article building an investment portfolio with a zero strategy, comprising borrowing some assets and buying other assets for the same amount. The study comprised choosing the length of the historical horizon, the ranking criterion and the portfolio structure that ensured the maximum investor income.
 
 
Highlights
The construction of an optimal portfolio of securities is one of the main tasks of managing the financial system, in which individual assets are only a component part
In [1], various relations taking into account profitability and risk ranking criteria
At the moment t2 - the beginning of investment for the selected criterion, we have an array of assets ranked on the historical horizon
Summary
The construction of an optimal portfolio of securities is one of the main tasks of managing the financial system, in which individual assets are only a component part. 2. The division of assets into “good” and “bad” according to the value of the criterion. 5. The definition of income of the investment strategy at the end of the ownership period, as the difference between the costs of “good” and “bad” portfolios. At the moment t2 - the beginning of investment for the selected criterion, we have an array of assets ranked on the historical horizon. Wib the capital at the ith moment of time of the portfolio of “good” and “bad” assets. After ranking the assets and dividing them into “good” and “bad”, it solved two optimization problems. 2) At the beginning of each period, we selected a month, two portfolios are being built: one of the “good” shares, the other of the “bad” ones They obtained the following arrays of investor income for the ownership period for various criteria: Table 1
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