| Abstract [eng] |
The dissertation analyses the topic and problems of selection and management of investment portfolio in terms of market dynamics. The global financial crisis has revealed that investments bear not only return possibilities but also a relatively high risk of loss. The main aim of the Thesis is to propose and test empirically investment portfolio selection and management solutions matching the tendencies of modern markets for the investors with different investing preferences. The Doctoral Thesis consists of the introduction, three body chapters and conclusions. The introduction presents the scientific problem, its relevance, the object of the research, the aim and tasks of the research, methods of research, scientific novelty of the Thesis, practical significance of its results and defended statements. The first chapter provides analysis of possibilities for a widely diversified investment portfolio selection. The study of proposals of scientists on different assets combining into an investment portfolio is carried out. Portfolio of exchange traded funds is created and its efficiency is evaluated. The method for actually incurred risk evaluation is suggested. Solutions for active investment portfolio management with financial leverage are specified in the second chapter. The changes of efficient set of portfolios and expediency of active portfolio management with financial leverage are evaluated. Forecasts integration method, based on prediction accuracy in the past, is proposed; its efficiency is evaluated integrating different period time series forecasts. A portfolio rebalancing method, based on investor appropriate excess return and incurred costs ratio evaluation is proposed. All suggestions are summarized in an active portfolio management model. The third chapter presents a comprehensive analysis of application possibilities of multicriteria decision making methods to deal with efficient portfolio selection problem. Investment portfolio selection method, based on stock investment attractiveness, is proposed and tested in real market conditions. Guidelines for development of the portfolio selection decision support system, based on stock investment attractiveness, are formulated, ensuring expansion of application of the suggested method. Finally, conclusions and proposals are formulated. |
