The Securities Portfolio Formation Under Modern Conditions

Student: Petrukhin Fedor

Educational Programme: Economics and Statistics (Bachelor)

Year of Graduation: 2020

It is generally considered that stock market is something very complex that is very hard to predict. In this paper, the most common retail investor problem will be explored. The aim is to find the most effective way to invest money in given assets, so that the tool of producing portfolio is reliable and stable. Thus, the easiest way to construct a portfolio (naïve diversification) will be compared to Markowitz portfolio optimization specifications and different machine learning algorithms. It is anticipated to machine learning to outperform other models, because of the actual complexity of markets with increased volatility, truly hard time for retail investor to make a decision.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses