Modeling the formation of an asset portfolio with risk optimization
DOI:
https://doi.org/10.5377/reice.v12i24.20065Keywords:
Optimization, risk management, Model, Financial Activities, Decision Making, InvestmentsAbstract
This article authors investigate and study the modeling of the decision-making process under risk conditions. The purpose of this article is to identify the main patterns that determine the features of risk assessment in business as a key element contributing to the economic security of an organization, as well as to conduct a comparative analysis of methods for assessing and managing investment risks. The optimality of the investment portfolio is the highest priority task for decision-makers who want to achieve maximum returns with minimal risks. The article examines various directions of investor fund allocation to achieve maximum profit. An analysis of models and methods that allow investors to take into account the expected returns and risks of various assets when forming a portfolio is conducted. It is concluded that it is impossible to increase income without increasing risk or reduce risk without decreasing profit. The most diversified and best yielding portfolio per unit of risk will be one that contains the most risky assets.
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