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HSE University

Statistical Properties of Portfolio Parameters

Student: Rakhimov Timur

Supervisor: Alexey S. Shvedov

Faculty: Faculty of Economic Sciences

Educational Programme: Master

Year of Graduation: 2014

<p align="center">ABSTRACT</p><p align="center">Title: Statistical Properties of Portfolio Parameters</p><p align="center">&nbsp;</p><p>The purpose of the Master thesis is to look at statistical properties of portfolio parameters in Markowitz portfolio theory. Given a brief overview of portfolio theory development and main approaches to risk and return determination. Considered Markowitz portfolio theory and modern modifications, derived formulas to finding an asset weight in portfolio, depending on investor&rsquo;s risk aversion. Showed statistical properties of asset weight estimation, which checked on random generated returns using the Monte-Carlo method. Found optimal portfolios on the Russian equities of MICEX blue chips for 2008-2013.</p>

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