The Russian Stocks and Bonds Market: the Formation of an Investment Portfolio and Risk Assessment

Nowadays the stock market and various mechanisms of its functioning are becoming increasingly important. The issue of securities is an indispensable tool for attracting capital, and successfully placed capital, in turn, serves as a guarantee of preserving and multiplying the funds of investors. On the other hand, the income received in the stock market is directly related to the risk: the higher the income, the greater the risk. Here investors face the eternal problems of the stock market: risk management and the resulting problems of diversification and drawing up an investment portfolio that minimizes the risk at a given level of profitability. From the standpoint of minimizing risk, the so-called blue chips stand apart among other securities. However, the relatively low risk of these securities does not cease the problems of its diversification and maximization of yields. In this paper, the problem of the formation of diversified investment portfolios from blue chips of the Russian and American markets is solved using correlation analysis of the weekly price series and yields, such models as Markowitz's, CAPM, ES-CAPM, and D-CAPM.