SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD

For the last five years capitalization of joint stock companies in Russia nearly doubled while the major indicator of stock market development, i. e. MISEX index – increased more than in 1,5 times. In spite of such favourable conditions for the development of portfolio investment mutual investmen...

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Autores principales:	Svyatoslav N. Digo, Aleksandra M. Sokolova
Formato:	article
Lenguaje:	RU
Publicado:	Plekhanov Russian University of Economics 2018
Materias:	fundamental analysis just share price logistic regression investment rating optimization of the stock portfolio structure Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/73d1aa0bf55d4eb1aee8bc835347d20f
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spelling	oai:doaj.org-article:73d1aa0bf55d4eb1aee8bc835347d20f2021-11-15T05:20:46ZSHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD2413-28292587-925110.21686/2413-2829-2018-1-75-89https://doaj.org/article/73d1aa0bf55d4eb1aee8bc835347d20f2018-02-01T00:00:00Zhttps://vest.rea.ru/jour/article/view/433https://doaj.org/toc/2413-2829https://doaj.org/toc/2587-9251For the last five years capitalization of joint stock companies in Russia nearly doubled while the major indicator of stock market development, i. e. MISEX index – increased more than in 1,5 times. In spite of such favourable conditions for the development of portfolio investment mutual investment funds, whose investment is mainly shares demonstrate low effectiveness. In 2015 the growth in investment funds profitability showed 30,82% (in average), while MISEX index grew by 28,72%. If we take into account that commission rates with purchase and redemption reach 3,5%, while with purchase of exchange investment fund – 1%, then investor profitability, who entrusted his/her money to investment company or just invested it in index will be equal. Thus securities market needs more effective methods and algorithms of shaping the stock portfolio, as investor’s expectations of getting profits could be met only in case of professional choice of investment projects. The article puts forward a new express method of selecting shares to the portfolio called the method of investment rating. This method is based on developing logistic regression. It provides an opportunity to analyze share price of all issuers with the help of the programmed algorithm taking into account not only principle shares’ characteristics (risk and profitability) but the impact of other variables connected with finance and business work of the issuer and his market figures. The authors described economic and mathematic aspect of the process of giving an investment grade and tested the method of investment rating on the Russian securities market.Svyatoslav N. DigoAleksandra M. SokolovaPlekhanov Russian University of Economicsarticlefundamental analysisjust share pricelogistic regressioninvestment ratingoptimization of the stock portfolio structureEconomics as a scienceHB71-74RUВестник Российского экономического университета имени Г. В. Плеханова, Vol 0, Iss 1, Pp 75-89 (2018)
institution	DOAJ
collection	DOAJ
language	RU
topic	fundamental analysis just share price logistic regression investment rating optimization of the stock portfolio structure Economics as a science HB71-74
spellingShingle	fundamental analysis just share price logistic regression investment rating optimization of the stock portfolio structure Economics as a science HB71-74 Svyatoslav N. Digo Aleksandra M. Sokolova SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD
description	For the last five years capitalization of joint stock companies in Russia nearly doubled while the major indicator of stock market development, i. e. MISEX index – increased more than in 1,5 times. In spite of such favourable conditions for the development of portfolio investment mutual investment funds, whose investment is mainly shares demonstrate low effectiveness. In 2015 the growth in investment funds profitability showed 30,82% (in average), while MISEX index grew by 28,72%. If we take into account that commission rates with purchase and redemption reach 3,5%, while with purchase of exchange investment fund – 1%, then investor profitability, who entrusted his/her money to investment company or just invested it in index will be equal. Thus securities market needs more effective methods and algorithms of shaping the stock portfolio, as investor’s expectations of getting profits could be met only in case of professional choice of investment projects. The article puts forward a new express method of selecting shares to the portfolio called the method of investment rating. This method is based on developing logistic regression. It provides an opportunity to analyze share price of all issuers with the help of the programmed algorithm taking into account not only principle shares’ characteristics (risk and profitability) but the impact of other variables connected with finance and business work of the issuer and his market figures. The authors described economic and mathematic aspect of the process of giving an investment grade and tested the method of investment rating on the Russian securities market.
format	article
author	Svyatoslav N. Digo Aleksandra M. Sokolova
author_facet	Svyatoslav N. Digo Aleksandra M. Sokolova
author_sort	Svyatoslav N. Digo
title	SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD
title_short	SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD
title_full	SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD
title_fullStr	SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD
title_full_unstemmed	SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD
title_sort	shaping the stock portfolio by the investment rating method
publisher	Plekhanov Russian University of Economics
publishDate	2018
url	https://doaj.org/article/73d1aa0bf55d4eb1aee8bc835347d20f
work_keys_str_mv	AT svyatoslavndigo shapingthestockportfoliobytheinvestmentratingmethod AT aleksandramsokolova shapingthestockportfoliobytheinvestmentratingmethod
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SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD

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