Features of application of optimum portfolio models on developing stock markets

The paper considers the current issues of developing stock markets, including the Russian problem of choosing models for the formation and management of investment portfolios of professional and non-professional market players. A well-known fact is noted about the discrepancy between the initial premises of the classical portfolio theory, laid down in the works of Markowitz, Tobin, Sharp, and the conditions for choosing investment solutions in these markets. It is shown that for the main groups of non-institutional (meaning non-professional) investor-agents of the developing stock market, the urgent task is to develop original and improve well-known economic and mathematical models, methods and numerical algorithms for selecting and managing investment portfolios. In this regard, the authors conducted a comparative analysis of the structure and composition of the financial asset portfolios of the moderately aggressive group of agents dominating among non-institutional investors, agents of the Russian stock market, calculated using the Markovits model (with the profitability criterion) and Sharp (with the profit / risk share criterion). The differences in the resulting portfolios are presented and the conclusion is made that the optimal portfolio models need to take into account an expanded set of quality criteria, which corresponds to the strategy and tactics of management companies and brokers accompanying the portfolios of this group of investors.