Abstract
The actual task of realizing the attempt to combine the theory of management of the investment portfolio of Markowitz with the discount approach to the assessment of profitability is considered. The Markowitz portfolio theory, elements of mathematical statistics and economic theory, decision theory, the theory of risk management. Definitions have been found for the variance of the net present value of the portfolio of different projects. Its dispersion is found. The relationship of the net present value of the portfolio to the probability of risk is analyzed. Properties characteristic for the variance of an individual component of the net present value are also retained for the complete variance of the portfolio. The impact of the project timelines on the likelihood of risk is considered. The chapter shows that the average net present income is growing faster with an increase in the duration of projects than its variance, which leads to a decrease in the probability of risk. However, uneven changes in the timing of projects do not lead to a minimum probability of risk and the need for correction of investment shares.
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Chernyshev, S.L. (2019). Investment Management Technology with Discounting. In: Kravets, A. (eds) Big Data-driven World: Legislation Issues and Control Technologies. Studies in Systems, Decision and Control, vol 181. Springer, Cham. https://doi.org/10.1007/978-3-030-01358-5_20
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DOI: https://doi.org/10.1007/978-3-030-01358-5_20
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