SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD
For the last five years capitalization of joint stock companies in Russia nearly doubled while the major indicator of stock market development, i. e. MISEX index – increased more than in 1,5 times. In spite of such favourable conditions for the development of portfolio investment mutual investmen...
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| Format: | Article |
| Language: | Russian |
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Plekhanov Russian University of Economics
2018-02-01
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| Series: | Вестник Российского экономического университета имени Г. В. Плеханова |
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| Online Access: | https://vest.rea.ru/jour/article/view/433 |
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| _version_ | 1850050769870389248 |
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| author | Svyatoslav N. Digo Aleksandra M. Sokolova |
| author_facet | Svyatoslav N. Digo Aleksandra M. Sokolova |
| author_sort | Svyatoslav N. Digo |
| collection | DOAJ |
| description | For the last five years capitalization of joint stock companies in Russia nearly doubled while the major indicator of stock market development, i. e. MISEX index – increased more than in 1,5 times. In spite of such favourable conditions for the development of portfolio investment mutual investment funds, whose investment is mainly shares demonstrate low effectiveness. In 2015 the growth in investment funds profitability showed 30,82% (in average), while MISEX index grew by 28,72%. If we take into account that commission rates with purchase and redemption reach 3,5%, while with purchase of exchange investment fund – 1%, then investor profitability, who entrusted his/her money to investment company or just invested it in index will be equal. Thus securities market needs more effective methods and algorithms of shaping the stock portfolio, as investor’s expectations of getting profits could be met only in case of professional choice of investment projects. The article puts forward a new express method of selecting shares to the portfolio called the method of investment rating. This method is based on developing logistic regression. It provides an opportunity to analyze share price of all issuers with the help of the programmed algorithm taking into account not only principle shares’ characteristics (risk and profitability) but the impact of other variables connected with finance and business work of the issuer and his market figures. The authors described economic and mathematic aspect of the process of giving an investment grade and tested the method of investment rating on the Russian securities market. |
| format | Article |
| id | doaj-art-73d1aa0bf55d4eb1aee8bc835347d20f |
| institution | DOAJ |
| issn | 2413-2829 2587-9251 |
| language | Russian |
| publishDate | 2018-02-01 |
| publisher | Plekhanov Russian University of Economics |
| record_format | Article |
| series | Вестник Российского экономического университета имени Г. В. Плеханова |
| spelling | doaj-art-73d1aa0bf55d4eb1aee8bc835347d20f2025-08-20T02:53:21ZrusPlekhanov Russian University of EconomicsВестник Российского экономического университета имени Г. В. Плеханова2413-28292587-92512018-02-0101758910.21686/2413-2829-2018-1-75-89420SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHODSvyatoslav N. Digo0Aleksandra M. Sokolova1Plekhanov Russian University of EconomicsOpen joint stock company 'Russian Railways'For the last five years capitalization of joint stock companies in Russia nearly doubled while the major indicator of stock market development, i. e. MISEX index – increased more than in 1,5 times. In spite of such favourable conditions for the development of portfolio investment mutual investment funds, whose investment is mainly shares demonstrate low effectiveness. In 2015 the growth in investment funds profitability showed 30,82% (in average), while MISEX index grew by 28,72%. If we take into account that commission rates with purchase and redemption reach 3,5%, while with purchase of exchange investment fund – 1%, then investor profitability, who entrusted his/her money to investment company or just invested it in index will be equal. Thus securities market needs more effective methods and algorithms of shaping the stock portfolio, as investor’s expectations of getting profits could be met only in case of professional choice of investment projects. The article puts forward a new express method of selecting shares to the portfolio called the method of investment rating. This method is based on developing logistic regression. It provides an opportunity to analyze share price of all issuers with the help of the programmed algorithm taking into account not only principle shares’ characteristics (risk and profitability) but the impact of other variables connected with finance and business work of the issuer and his market figures. The authors described economic and mathematic aspect of the process of giving an investment grade and tested the method of investment rating on the Russian securities market.https://vest.rea.ru/jour/article/view/433fundamental analysisjust share pricelogistic regressioninvestment ratingoptimization of the stock portfolio structure |
| spellingShingle | Svyatoslav N. Digo Aleksandra M. Sokolova SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD Вестник Российского экономического университета имени Г. В. Плеханова fundamental analysis just share price logistic regression investment rating optimization of the stock portfolio structure |
| title | SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD |
| title_full | SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD |
| title_fullStr | SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD |
| title_full_unstemmed | SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD |
| title_short | SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD |
| title_sort | shaping the stock portfolio by the investment rating method |
| topic | fundamental analysis just share price logistic regression investment rating optimization of the stock portfolio structure |
| url | https://vest.rea.ru/jour/article/view/433 |
| work_keys_str_mv | AT svyatoslavndigo shapingthestockportfoliobytheinvestmentratingmethod AT aleksandramsokolova shapingthestockportfoliobytheinvestmentratingmethod |