文章基本信息

标题：Formulating the Concept of an Investment Strategy Adaptable to Changes in the Market Situation
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作者：Vera Ivanyuk ; Vera Ivanyuk ; Vera Ivanyuk 等
期刊名称：Economies
印刷版ISSN：2227-7099
出版年度：2021
卷号：9
期号：1
页码：95
DOI：10.3390/economies9030095
语种：English
出版社：MDPI, Open Access Journal
摘要：The study aims to develop a dynamic model for the management of a strategic investment portfolio, taking into account the impact of crisis processes on asset value. A mathematical model of a dynamic portfolio strategy is developed, and guidelines for framing a long-term investment strategy based on the current state of the investment market are formalized. An efficient method of long-term ensemble forecasting to increase the accuracy of predicting financial time series is elaborated. A methodology for constructing and rebalancing a dynamic strategic investment portfolio based on a changing portfolio strategy that results from assessing the current market state and forecast is developed. The obtained strategic portfolio model has been estimated empirically based on historical data and its rate-of-return characteristics have been compared with those of the existing conventional models used in strategic investment.