Investigation of Transaction Costs for Maintaining the Optimality of the Securities Portfolio

The purpose of this paper is to study the stability of the securities portfolio, formed on the basis of the Markowitz theory. In this paper, the object of research is a portfolio of shares, formed within the framework of the Markowitz theory of an optimal portfolio. At the same time, the subject of the study is transaction costs, in particular, the commission of brokers, charged at the auctions on the stock market of the Russian Federation. As the main hypothesis, the following assumptions are made: transaction costs, which the investor suffers as a result of trades on the stock exchange, affect the structure of the optimal portfolio of securities. In the course of studying the literature on this topic, the idea of considering the influence of costs on the composition of the optimal portfolio arose. As a result, the task was set to study this problem. With the help of the computational capabilities of the Microsoft Excel program, optimal portfolios of shares traded on the Moscow stock exchange (MICEX) were created. Further, the costs incurred by the investor as a result of trading and the weight of the selected shares in the portfolio were taken into account. As a result of the work done, the results were obtained, which refute the assumptions originally set. In the course of the work, when examining the process of impact of transaction costs, and in particular of the broker commission, on the portfolio structure, it was found that there was no influence. Regardless of the size of the costs, the turnover of funds on the account. This specificity is connected with the fact that for any type of shares: with high values of quotations, actively traded, owned by companies from different industries, with positive or negative profitability, the commission rate is the same. Which means that they have the same impact on securities.