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  • Modern Methods for Assessing the Securities Portfolio Effectiveness: Comparative Analysis, Selection Criteria and Automation of the Decision-Making Process

Modern Methods for Assessing the Securities Portfolio Effectiveness: Comparative Analysis, Selection Criteria and Automation of the Decision-Making Process

Student: Rybalchenko Anastasia

Supervisor: Natalia Sizykh

Faculty: Graduate School of Business

Educational Programme: Business Informatics (Bachelor)

Year of Graduation: 2020

This study examines the theoretical and practical aspects of modelling securities portfolios based on Modern and Postmodern Portfolio Theory and subsequent methods of assessing portfolio effectiveness. The paper provides a description of the securities and investment market. The indicators characterizing the effectiveness of the securities portfolio are described. The theoretical review of existing information systems for automating decision-making while forming securities portfolios is presented. The practical part is conducted on the example of Russian management companies and their securities portfolios. The portfolios effectiveness of the companies is measured in consistence with the Modern and Postmodern Portfolio Theory. Based on the result analysis and comparative analysis of the methods of assessing portfolio effectiveness criteria for choosing methods was developed. In the last part of the work the recommendations for the automated process of assessing portfolio effectiveness and optimizing it are presented.

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