Скоринг ценных бумаг с использованием программного продукта “Stock Exchange DSS“

Abstract

Предложена методика портфельной оптимизации, которая является альтернативной по отношению к классической. Методика основана на модели скоринга ценных бумаг, представленной в виде формулы свёртки нормированных оценок доходности, риска и ликвидности ценных бумаг. Результатом расчёта по этой модели для каждого вида ценных бумаг является коэффициент инвестиционной привлекательности, пропорционально значению которого определяются доли ценных бумаг в портфеле.

Making investment decisions is accompanied by a thorough preliminary analysis. However, when the number of the stock of assets (stocks, bonds and other securities) is measured in hundreds, analysis of investments is not possible and operative support investments difficult. A special need for such an analysis are experiencing investors (banks, investment and insurance funds). The literature shows a multitude of mathematical models of formation of a portfolio of securities and management. In these models, is considered to maximize portfolio returns for a given risk and minimize risk for a given yield, it cannot meet the needs of investors. Therefore, the technique of portfolio optimization was proposed, which is an alternative to classical. The method is based on scoring models of the securities represented in the following formula convolution of the normalized estimates of yield, risk and liquidity of the securities. The result of the calculation for this model for each type of securities is the factor of investment attracti veness, in proportion to the value, which will determine the share of securities in the portfolio.