Analysis of the Structure of Efficient Portfolios of Securities

Student: Gerasimov Stanislav

Supervisor: Alexander Petrovich Kirsanov

Educational Programme: Business Informatics (Master)

Year of Graduation: 2019

This work proposes a procedure for optimizing a portfolio composed of stock indices. Wolfram Mathematica is used for the calculations, which allows you to simplify the process of optimizing portfolios. The document analyzes the structure of portfolios built by Markowitz, Quasi-Sharpe and Huang-Litzenberger methods and compares their stability. Additionally, an analysis of their effectiveness on real ones during the selected investment periods is carried out. Keywords: Markowitz portfolio theory, Quasi-Sharp method, Huang-Litzenberger method, portfolio optimization.

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