UDC 336.7
DOI: 10.36871/2618-9976.2023.12.006
Authors
Vera A. Ivanyuk,
Candidate of Economic Sciences, Associate Professor, Belgorod State National Research University
(NRU "BelSU"), Belgorod, Russia
Abstract
This article proposes a new approach to the development of
the concept of investment portfolio formation, based on the
systematic deduction of the hierarchy of factors and the combination
of evaluation, forecasting, and optimization mechanisms.
This approach makes it possible to increase the efficiency
of the portfolio by reducing periods of suboptimal conditions
and quickly adapting to changes in investment conditions.
The paper describes in detail the methodology for identifying
significant factors, formalizing goals and strategies,
and developing a mathematical model to determine the optimal
composition of an investment portfolio. The proposed approach
can find wide practical application in the tasks of strategic
investment. Effective management of an investment
portfolio in conditions of high uncertainty and volatility of
financial markets is a very urgent task. Strategies for forming
an optimal asset portfolio are largely based on mathematical
modeling, which allows taking into account many risk and
profitability factors. The proposed methodology is based on
the systematization of factors affecting the market situation
and the state of the investment portfolio. By consistent deduction,
the "market – portfolio" subsystem is identified and analyzed,
within which the key factors of direct and reverse influence
are identified from the standpoint of their objectivity,
predictability and manageability.
Based on the obtained hierarchy of factors, priority goals for
the optimal portfolio model are formulated: maximizing
adaptability and period of effectiveness at an acceptable level
of risks. Further, the paper presents the formalization of these
goals and the justification of a conceptual model that combines
evaluative, predictive, investment and optimization
components.
The developed approach can serve as a theoretical basis for creating
effective mathematical models for managing strategic investment
portfolios, taking into account a wide range of external
factors and internal goals of the investor.
Keywords
Investment portfolio, Adaptability, Mathematical modeling, Hierarchy, Profitability, Risk