Formation of the portfolio of assets on the basis of double-criteria approach to its selection and forecast estimations of return

Abstract

Nowadays dissatisfaction with the results of practice in the securities market is growing, and despite the fact that financial theory is developing intensively. The main reason of success and failure in the market is the ability or lack of ability to make investment decisions on the basis of the analysis of formed idea about the future. In order to operationalize the idea of the necessity of forming of assets portfolio on the basis of their return forecasts double-criteria approach to the selection of assets included into the portfolio is suggested. The scope of this approach includes the consistent use of the Hurst exponent, which identifies the degree of predictability of the series, reflecting the returns of a financial asset, and the beta-coefficient, which allows choosing the high-profitable securities.

Keywords

• assets portfolio
• choose of the assets
• hurst exponent
• beta-coefficient
• forecast estimation of return