Features of application of optimum portfolio models on developing stock markets (continued)

The article presents new results obtained by the authors as part of the continuation of work on the topics of an earlier (published) article. These results include: statement of problems and mathematical models for the formation of optimal portfolios of financial assets in the statements of G. Markowitz and V. Sharp taking into account the liquidity constraint (this restriction was not used in earlier work). Variants of optimal portfolios are presented, designed for moderately aggressive investors with different volumes of investment capital. Differences of the received portfolios by structure and indicators of profitability and risk are given. In the previous work, the conclusion was substantiated on the advantages of using the “classic” portfolio investment task in the setting of G. Markowitz for the conditions of the developing Russian stock market, which allows more adequately reflect the imperfections of the institutional mechanisms of its functioning. In this paper, it is shown that this result remains valid for the case when in the portfolio investment problem considered in the statements of G. Markowitz and V. Sharp, in addition to the criteria for profitability and risk, it is proposed to take into account the liquidity criterion of a separate security and, in general, investment portfolio.