FINANCIAL RISK MANAGEMENT MODELS IN THE FORMATION OF THE INVESTMENT PORTFOLIO

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Abstract

The article analyzes the evolution of financial risk management models in the formation of an investment portfolio. The theory of G. Markowitz, one of the founders of modern portfolio theory, and its main ideas are studied. The scientist who improved the scientific work of Markowitz is the theory of his student W. Sharp, this article discusses this theory and the main differences between them. The “arbitrage pricing theory (APT)” by S. Ross, who made a significant contribution to the portfolio theory, was studied, its differences from other models were analyzed. Nedosekin and Zaichenko, who developed the following portfolio theory, developed “Analysis of a Fuzzy Portfolio Optimization Model”, which is discussed in this article. Models of investment portfolio optimization, their advantages and disadvantages, as well as differences are also compared.

Keywords:

investment portfolio financial risks portfolio theory Arbitrage prices Fuzzy Portfolio beta coefficient

References

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FINANCIAL RISK MANAGEMENT MODELS IN THE FORMATION OF THE INVESTMENT PORTFOLIO. (2023). Economic Development and Analysis, 1(2), 60-65. https://sci-p.uz/index.php/eitt/article/view/47