Asset Allocation Using Decomposition of Stock Price Dynamics

Student: Shelomentsev Daniil

Educational Programme: Economics (Bachelor)

Year of Graduation: 2021

There is a wide range of investment portfolio construction methods which pursue the same purpose - maximizing return while minimizing risk. The main goal of this research is to create a new method of an investment portfolio construction using the singular spectrum analysis for the purpose of stock prices dynamics analysis. In the empirical part of the research, received results indicated effectiveness of the constructed model - profit of the constructed portfolio significantly exceeded profit of the market (S&P500), while risk of the constructed portfolio was relatively small. Thus, this model can be used by investors in order to construct investment portfolios and rebalance them.

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