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Оптимизация Инвестиционного Портфеля Методом Неприятия Потерь На Примере Российского Фондового Рынка

Author

Listed:
  • Федорова Е.А.
  • Титаренко А.В.

Abstract

В работе исследуется распределение активов методом неприятия потерь и проводится эмпирическое исследование эффективности метода на основе реальных данных российского фондового рынка. Метод сравнивается с распределением активов классическими методами: минимизацией среднего отклонения MV и CVaR. Предлагаемый метод неприятия потерь показывает лучшие результаты, а использование адаптивных параметров позволяет дополнительно улучшить результат.

Suggested Citation

  • Федорова Е.А. & Титаренко А.В., 2014. "Оптимизация Инвестиционного Портфеля Методом Неприятия Потерь На Примере Российского Фондового Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(1), pages 80-90, январь.
    • Handle: RePEc:scn:cememm:v:50:y:2014:i:1:p:80-90
    Note: Москва
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    References listed on IDEAS

    as
    1. Nicholas Barberis & Ming Huang, 2001. "Mental Accounting, Loss Aversion, and Individual Stock Returns," Journal of Finance, American Finance Association, vol. 56(4), pages 1247-1292, August.
    2. Nicholas Barberis & Ming Huang, 2001. "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers 8190, National Bureau of Economic Research, Inc.
    3. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
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