Modeling of the optimum investment portfolio of a moderate-aggressive investor with an additional liquidity criterion

The article deals with the problem of choosing tools for models, methods and numerical algorithms for the formation and management of a portfolio of risky financial assets of an institutional (professional) investor of a moderately aggressive type - an agent of the Russian stock market. A significant proportion of investors in this group are investment companies and funds, as well as credit institutions and commercial banks, whose priority criteria, along with the profitability and risk of assets included in the portfolio, is also liquidity. The article considers the most “worked out” models of portfolio theory: G. Markowitz and V. Sharp as applied to the problem of choosing portfolios of risky financial assets of investors of the specified group, which differ in investment budget and priority sequence of optimality criteria. It is shown that: 1) the liquidity factor has little effect on the structure of portfolios under the conditions of using a specific model for different investment volumes. On the contrary, the choice of one or another model (in the formulations of G. Markowitz or V. Sharp), taking into account the limitation on liquidity, significantly affects the structure and composition of the portfolio and is decisive for investors in the group under consideration; 2) the most adequate for investment conditions in the Russian stock market is the G. Markowitz model with a criterion for profitability and restrictions on the maximum levels of risk and liquidity included in the portfolio of assets.