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Portfolio Investment in the Stock Markets with Asymmetrical Distribution of Security Returns

Student: Daria Shupilova

Supervisor: Alexander Osharin

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2020

This paper deals with the problem of portfolio investment in shares with an asymmetric distribution of returns on the example of the Russian stock market. When choosing the optimal investment portfolio, the investor first sets the task of minimizing the risk for a certain amount of return on shares, as well as maximizing the expected return at a certain level of risk. The key concept in solving this problem is the concept of risk and the selection of an adequate tool for measuring it. The purpose of this work is to compare the composition (and other characteristics) of investment portfolios formed from shares traded on the Russian stock market, the choice of which is based on the traditional concept of "risk – return", with the composition (and other characteristics) of portfolios, the choice of which is based on the modified concept of "one – sided risk-return". The main attention is paid to the comparative analysis of the characteristics of portfolios belonging to the effective set, and, in particular, optimal (tangent in the sense of Sharpe) portfolios, and portfolios with minimal risk. In the practical part of the work, calculations are made using the considered models on the Russian stock market for the time intervals of 2016, 2019 and 2020. Using different risk assessment methods, the composition and other characteristics of two tangent portfolios were obtained. As a result of applying the one-way variance method, the investment risks measured by the left-side average square deviation and positive deviations in the distribution of returns of shares in the portfolio were more accurately taken into account, which allows the investor to form a more effective and profitable investment portfolio compared to the classical model.

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