Determining an Optimal Structure of a Portfolio Containing Assets of Mature and Emerging Markets
Chernova N. L., Poliakova O. Y.

Chernova, Natalia L., and Poliakova, Olha Yu. (2020) “Determining an Optimal Structure of a Portfolio Containing Assets of Mature and Emerging Markets.” The Problems of Economy 1:332–339.
https://doi.org/10.32983/2222-0712-2020-1-332-339

Section: Mathematical methods and models in economy

UDC 336.76; 330.40

Abstract:
In the modern world, derivatives on leading stock indices are very often the focus of attention of portfolio investors. Inclusion of such tools in a portfolio actually allows investing immediately in the economy of a particular country or its individual sector. The aim of the work is the formation of an optimal investment portfolio containing derivatives on stock indices of countries with mature and emerging stock markets. To achieve this goal, the study solves the following tasks: two optimal portfolios — the portfolio containing indices of developed countries and the portfolio containing indices of emerging countries — are formed; the mixed portfolio containing indices of both sectors is formed; a comparative analysis of the effectiveness of the resulting portfolios is carried out. To obtain an optimal portfolio structure, the Markowitz model is used. The results of applying this model allow to draw the following conclusions regarding the investment attractiveness of the stock market of mature and emerging economies. In terms of portfolio risk level, it is possible to obtain a couple of portfolios, one of which would contain only assets of mature markets, and the other — only assets of emerging ones. However, in this case, the level of profitability will be significantly lower in the portfolio consisting of assets of the mature sector. The mixed portfolio provides a much wider range of alternative investment options based on the efficient frontier, both in terms of the risk and profitability criterion.

Keywords: market, stock index, futures, model, risk, profitability, optimal portfolio.

Fig.: 3. Tabl.: 5. Formulae: 2. Bibl.: 17.

Chernova Natalia L. – Candidate of Sciences (Economics), Associate Professor, Associate Professor, Department of Software Engineering and Intelligent Control Technologies, National Technical University «Kharkiv Polytechnic Institute» (2 Kyrpychova Str., Kharkіv, 61002, Ukraine)
Email: natacherchum@gmail.com
Poliakova Olha Yu. – Candidate of Sciences (Economics), Associate Professor, Head of, Sector of Macroeconomic Analysis and Forecasting of the Department of Macroeconomic Policy and Regional Development, Research Centre for Industrial Problems of Development of NAS of Ukraine (2 floor 1-a Inzhenernyi Ln., Kharkіv, 61166, Ukraine)
Email: polya_o@ukr.net

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