The article considers the problem of constructing efficient portfolio model of Tobin. Analyzed two types of portfolios: the minimum-risk and maximum profitability on the basis of quotations of oil companies of the Russian Federation (website investing.ru). A comparative analysis of stock returns of the companies and their risks with the help of software tools of MS Excel. In the course of calculations are shares of oil companies and the share of government securities built a pie chart of their percentages. Conclusions, which subsequently should affect the decision of investors.
Keywords: expected return, risk, minimum risk, maximum efficiency, securities, model of John Tobin, investment portfolio, profitability, mathematical expectation, risk free asset quotes
The article deals with the problem of formation and management of securities portfolio, which is actual for the developing economy. To solve it, an active strategy is used, which implies changes in the structure of the portfolio. The shares of assets are included in the portfolio using the Quasi – Sharpe method. The model is used in volatile stock markets for efficient performance. Research is conducted on the example of the dividends of large foreign companies Model "Quasi − Sharpe" combines the yield on a bond with a yield of a single portfolio, and the risk of the security using linear regression functions. The risk in this method is measured using the beta β coefficient, which is characterized by a degree of sensitivity to changes in the profitability of a single portfolio. Using the data Analysis package, you can find regression equations that allow you to forecast for future periods of time.
Keywords: an effective portfolio, portfolio theory, expected return, rate of return, given the risk, investment, securities, trend line, forecasting, model Quasi -Sharpe