OʻZBEKISTON KAPITAL BOZORIDA SAMARALI QIMMATLI QOGʻOZLAR PORTFELINI SHAKLLANTIRISH VA UNING SAMARADORLIGINI BAHOLASH
DOI:
https://doi.org/10.60078/3060-4842-2026-vol3-iss3-pp405-415Annotasiya
Mazkur maqolada Oʻzbekiston kapital bozorida samarali qimmatli qogʻozlar portfelini shakllantirish masalalari Markowitzning oʻrtacha-dispersiya optimallashtirish modeli asosida tadqiq qilingan. Tadqiqotda 2022-yil 23-iyul - 2025-yil 14-avgust oraligʻidagi 748 kunlik kuzatuvlar boʻyicha “Toshkent” respublika fond birjasida faol oldi-sotdi qilinadigan oltita aksiyadorlik jamiyati - uchta bank (Hamkorbank, Ipoteka-bank, “Ipak yoʻli”) va uchta nobank korxona (“Oʻzbekiston metallurgiya kombinati” - Oʻztelekom, UZRTXB, CHBSK) aksiyalari asosida teng taqsimlangan, minimal dispersiyali va tangens portfellar shakllantirilgan. Portfellar samaradorligi Sharpe, Treynor koeffitsientlari, Jensen alfasi va M² koʻrsatkichlari boʻyicha baholangan hamda Monte-Karlo simulyatsiyasi yordamida 1000 ehtimoliy portfel asosida bank va nobank sektor indekslari qiyosi amalga oshirilgan. Tadqiqot natijalari bank aksiyalaridan iborat tangens portfelning eng yuqori samaradorlikka ega ekanligini (E(P) = 40,80%, σp = 4,68%, Sharpe koeffitsienti = 6,83) koʻrsatdi
Kalit so‘zlar:
kapital bozori investitsiya portfeli Markowitz modeli oʻrtacha-dispersiya optimallashtirish tangens portfel Sharpe koeffitsiyenti samarali chegara Monte-Karlo simulyatsiyasi fond birjasi diversifikatsiyaBibliografik manbalar
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