Simulation modeling as a tool to reduce investment risks

This research proposes an approach to the problem of modeling portfolio construction and optimization for long-term investment.The authors describe the basic principles and methods that underlie this approach, with particular attention paid to the development of an expert system that allows for efficient management of the investment portfolio.The Russian stock market portfolio is modeled using the Sortino coefficient, a method that allows for the evaluation of the efficiency of the portfolio and its ability to generate income in the long term. The findings of the modeling substantiate the efficacy of the proposed approach and expert system.The paper additionally contemplates subsequent advancements in the development of the delineated approach and expert system, proposing methodologies for enhancing the model and extending its application to diverse categories of investment portfolios. This will facilitate a more precise evaluation of investment risks and returns, thereby enabling informed decision-making during the formation and management of portfolios.