The restructuring of the investment portfolio: the risk and effect of the emergence of new combinations

• Published in: Quantitative finance and economics 2019-01, Vol.3 (2), p.390-411
• Main Author: S. Sukharev, Oleg
• Format: Article
• Language: English
• Subjects: profitability| risk| “portfolio” theory| investment| new combinations| optimization models| portfolio restructuring| structure of economic reforms
• ISSN: 2573-0134; 2573-0134
• DOI: 10.3934/QFE.2019.2.390

The purpose of the research is to study the problem of restructuring the investment portfolio with the identification of the risk, profitability and the emergence impact of the new portfolio object on the process of changing its structure. The most important properties of portfolio allocation of investment should be identified on a simple class of models. Therefore, the optimization models of maximizing return and minimizing the total risk of the portfolio are chosen as a methodology for the study. Structural analysis of investment distribution between portfolio objects in statics is also applied. To solve the problem of finding the extremum of the return function and the total risk, which is estimated by the value of the covariance of return on investment in the portfolio objects, the gradient projection method is used, the algorithm of which allows to obtain an iterative picture of the risk and return changes on objects and for the investment portfolio as a whole. The result of the research is to obtain different distribution structures of the investment portfolio and identify the properties of its restructuring with the emergence of the new combination. In addition, it is established that the new combination, depending on risk and return, can lead to such restructuring of the investment portfolio. The portfolio of reforms also falls under the logic of the portfolio task. There may be a characteristic point where the same ratio of risk and return is provided by different structures of distribution of investment, which increases the need for qualitative assessments of those areas that require development and investment. This places special demands on the development of modern structural policies and institutional adjustments that governments have resorted to.