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An Algorithm for Constructing an Efficient Investment Portfolio

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Software Engineering Perspectives in Intelligent Systems (CoMeSySo 2020)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 1294))

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Abstract

Choosing the right investment vehicle is one of the main tasks facing any investor. No investor knows exactly whether their expectations regarding the return on particular equity will be met, but they need to build their strategy in such a way as to eliminate the damage as much as possible. The creation of a universal investment vehicle could facilitate the activities of many investors, but it does not exist, and it seems impossible thus far to build a unified model that covers the whole variety of factors. The purpose of this article is to analyze models and algorithms for constructing an effective investment portfolio. A large number of portfolios were generated using Python. For each of them, the total expected return and the total risk of the portfolio were calculated. Two portfolios, a maximum Sharpe ratio portfolio and a minimum risk portfolio have been constructed. When forming a portfolio, an investor adheres to several fundamental principles: to achieve an optimal ratio of return and risk of assets in the portfolio, to diversify the investment portfolio and ensure its management. The goals of creating an investment portfolio can be different: generate revenue, save money, or maintain liquidity. This article presents the main algorithms for constructing an investment portfolio. #COMESYSO1120.

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Author information

Authors and Affiliations

  1. Financial University under the Government of the Russian Federation, Moscow, Russia

    Vera Ivanyuk & Dmitry Berzin

  2. Bauman Moscow State Technical University, Moscow, Russia

    Vera Ivanyuk

Authors
  1. Vera Ivanyuk
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  2. Dmitry Berzin
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Corresponding author

Correspondence to Vera Ivanyuk .

Editor information

Editors and Affiliations

  1. Faculty of Applied Informatic, Tomas Bata University in Zlín, Zlín, Czech Republic

    Radek Silhavy

  2. Faculty of Applied Informatics, Tomas Bata University in Zlin, Zlín, Czech Republic

    Petr Silhavy

  3. Faculty of Applied Informatics, Tomas Bata University in Zlin, Zlín, Czech Republic

    Zdenka Prokopova

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Ivanyuk, V., Berzin, D. (2020). An Algorithm for Constructing an Efficient Investment Portfolio. In: Silhavy, R., Silhavy, P., Prokopova, Z. (eds) Software Engineering Perspectives in Intelligent Systems. CoMeSySo 2020. Advances in Intelligent Systems and Computing, vol 1294. Springer, Cham. https://doi.org/10.1007/978-3-030-63322-6_39

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