Formation of a diversified portfolio of stocks and the forecast of MICEXBMI index

The article analyses the sectoral indices of the Moscow Stock Exchange. The statistical correlation between them is assessed. The authors have developed an optimization model and obtained the optimal set of sectoral indices. The MICEXBMI index is reviewed. The trend models of its forecasting have been tested. The authors suggest the Fourier harmonic analysis and the MICEXBMI index forecast on its basis. The model has been checked for statistical significance, normality of surplus distribution, heteroscedasticity, presence of structural faults and autocorrelation.