Development of a technique of an assessment of profitability and cost of assets

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The method simplifying process making decision about placing of monetary cash in the period of the world financial instability with the purpose of its financial safety increasing or as a variant for receiving profit in the given article (regressive model, index models). This model allows to determine the level of mutual probabilistic influence of profitableness and assets on their cost. The model of pricing of capital assets which developed by U. Sharp and J. Lintner is considered. By means of this model the level of influence of market risk on the profitableness of the investment portfolio has been estimated. The equation of the equilibrium market characterizing interrelation of profitableness of an asset and cost of a beta assets relatively optimum (market) portfolio has been formed. The equation of the equilibrium market allows to estimate inefficient assets or portfolios relatively effective portfolios. The beta asset from the equation demonstrates reaction of profitableness on an asset on market forces actions. This size is applied for measurement of market risk portfolio so that estimates the dependence between assets profitableness and market portfolio profitableness. In the article the index model which represents itself a linear equation of multiple regression is also offered. This equation characterizes the fact that change of profitableness and the assets price depends on a number of indicators, testifying about state of the market or indexes. In the work the estimation of effective management of a portfolio with the use of index of U. Sharp’s model of the following assets is carried out: SLR (the Society of Limited Responsibility) "Lukoil", SLR “Pharmstandard”, SLR “Surgutneftegas”, SLR AFK “Sistema”, “Polymetal”, SLR “Gazprom”, the United Company “Rusal”. In article 14 forecasts which purchase and sale of valuable papers, from which 11 forecasts are reliable that makes up 78,57% therefore the considered method can be used with high degree of reliability in making of short-term method forecasts have been represented.


Portfolio of securities, market risk, estimation of cost, model of pricing of capital assets, cost of assets, profitability of assets

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IDR: 140229990   |   DOI: 10.20914/2310-1202-2018-1-391-397

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