Development of Models of Optimal Investment Strategies
- 10.2991/aebmr.k.200509.010How to use a DOI?
- investment portfolio optimization, extreme value method, copula, generalized Pareto distribution, Monte Carlo, pension savings, VaR, GARCH
The aim of the study is to model the stochastic average annual return on the investment portfolio of pension savings for various combinations of asset weights over a 40-year horizon, with an assessment of the risk level for each combination. To estimate the loss of portfolio VaR, an approach that combines copula functions, extreme value theory (EVT) and GARCH models is used. The main results obtained are the following: the average annual return and risk levels of the conservative and expanded portfolios of Vnesheconombank of Russia over the long-term investment period are predicted; a comparative analysis of the impact on the portfolio of legislative restrictions on the assets of the portfolio of pension savings and restrictions on the portfolio VaR; optimal strategies have been selected to achieve a level of pension provision that meets international standards, with a minimum risk. The results of the study and the optimization procedure proposed in the work can be applied in the field of asset management and risk management.
- © 2020, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Galina Zhukova AU - Dinara Kagirova PY - 2020 DA - 2020/05/12 TI - Development of Models of Optimal Investment Strategies BT - Proceedings of the International Conference on Economics, Management and Technologies 2020 (ICEMT 2020) PB - Atlantis Press SP - 50 EP - 56 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.200509.010 DO - 10.2991/aebmr.k.200509.010 ID - Zhukova2020 ER -