Investigation of Multi-stage Problem of Construction of Investment Portfolios with Quantile Constraints

Student: Rossikhin Nikita

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Applied Mathematics (Bachelor)

Year of Graduation: 2020

The object of research in this paper is the optimal investment strategy.The purpose of the work is to find such a way of investing to achieve maximum income with several restrictions in a multi-step task, relying on the classical Markowitz theory, calculating the portfolio based on data taken from the securities market, and also analyzing the impact on the final result of such indicators, as a level of confidence and capital gains. The work consists of two sections: the first describes the problem and the solution process in general, and the second provides data on assets from the market, solving a numerical example and analyzing the results.

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