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Investment Portfolio Construction in Russia

Student: Polina Kalinina

Supervisor: Irina Albertovna Bakunina

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2016

In the present study we investigated issues related to the pricing of financial assets at the Russian market, as well as the formation and management of an investment portfolio. For the analysis were used weekly data on the 39 most liquid shares of Russian stock market, included in the MICEX index calculation base. The price data cover the period from January 2010 to April 2016 In this study, we carried out testing of capital asset pricing model (CAPM) on the Russian stock market. We tested the possibility of the use of traditional CAPM construction on the Russian market, which is determined by the riskiness of assets through the concept "average - dispersion", comparing with the modified designs of the CAPM, based on a "mean - downside dispersion". It was revealed that the downside meausures are more effective for the Russian stock market than the traditional ones. Correlation coefficients of prices and revenues were also calculated. On the basis of this a high correlation was revealed, and the reasons for its existence were explained. On the basis of indicators and correlations we constructed a Markowitz efficient portfolio consisting of 12 financial assets. Also, in this paper, betas of the financial assets and beta of an optimal portfolio were calculated with the use of CAPM. Based on these indicators, the best portfolio was selected, and the result is compared with the model of Markowitz.

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