Optimal Portfolio Selection Based on Russian Dividend Stocks

This study includes analysis of investment portfolios based on dividend stocks of the Russian stock market and search for additional filters that allow investor to increase return of the portfolios relative to the return of the MICEX index. As a result, it was shown that dividend stocks are more profitable than shares that do not pay dividend. However, in case of investing in all dividend shares available on the stock market, and in case of investing money in non-dividend stocks, portfolios bring a net loss to the investor and do not outplay investment in the MICEX index, which confirms the need to use more sophisticated filters to improve the results. As additional filters for the investment portfolio, the P/E and RE/TA indicators were used. Using each filter separately allows investor to increase the efficiency of the dividend portfolio. The use of two filters together coincides with the most profitable portfolio. The study also further analyzes factors affecting the profitability and effectiveness of the dividend investment portfolio, such as: value-weighted portfolios, adjusting for reinvestment of dividend income, taxes and risk indicators.