Application of optimal portfolio models in the Russian stock market

The article considers actual for the current state of developing stock markets and, in particular, Russian problems of selection of models of formation and management of investment portfolios of professional and non-professional market players. This paper analyzes the structures of optimal portfolios formed on the models of G. Markowitz, Y. Sharpe and «Quasi-Sharpe» and includes equity risk securities that meet the preferences of investors of a moderately aggressive type on the criteria of profitability, risk and liquidity. The differences of the received portfolios are presented and conclusions are made about the necessity of usage the model of formation of the optimal investment portfolio in a specific variant depending on the information available to the investor. In particular, the classic variant of the model G. Markowitz with a profitability criterion and a limit on the aggregate risk of the portfolio is rationally used in conditions of stable markets with increasing profitability and the possibility of selecting shares with acceptable characteristics of issuers of different industries. The scope of application of the Y. Sharpe model is the selection of portfolio based on risky equity securities, which constitute a significant part of the stock market. The variant of the «Quasi-Sharp» model should be used rationally in case of the prospect of considering the inclusion in the portfolio of a small number of securities belonging to one or more industries. Using this variant of the model, it is convenient to maintain the optimal structure of the investment portfolio already in use.