Constructing and Performance Analysis of Robust Portfolio in Russian Stock Market

Student: Kutsenko Anton

Supervisor: Marat Z. Kurbangaleev

Educational Programme: Economics (Bachelor)

Final Grade: 9

Year of Graduation: 2022

The choice of assets in which to invest is an important task in the field of finance, so various ways of constructing a portfolio on the stock market are quite popular among financial researchers. In this paper, it is assumed to work with the concept of a robust portfolio, hence, the main goal is to construct a stable portfolio on the Russian stock market by using machine learning techniques and robust estimators along with a standard mean-variance optimisation approach. As a result of this work, the effectiveness of robust approaches application to portfolio construction on the Russian market by means of standard risk and return metrics is evaluated

Full text (added April 30, 2022)

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