Investicinio portfelio formavimo modelių tyrimų apžvalga ir taikymo galimybės

LTStraipsnyje analizuojami investicinių portfelių formavimo modeliai. Atlikta empirinių tyrimų analizė parodė, kad arbitražinio portfelio teorija leidžia modeliuoti įvairių ekonomikos scenarijų poveikį portfelio pelningumui. Arbitražinio portfelio teorija tinka strateginiam portfelio, kuris tenkintų tam tikros investuotojų grupės interesus, planavimui. Arbitražo įkainojimo teorija yra efektyvi norint prognozuoti ateities akcijų grąžas. Investiciniai portfeliai sudaryti remiantis Markowitz ir CAPM modeliais. Pasirinktos AB „Lesto“ ir AB „Nordecon“ akcijos. Didžiausia rizika ir didžiausiu pelningumu pasižymi portfelis, kurį sudaro 100 procentų AB „Lesto“ akcijų. Portfeliai sudaryti remiantis CAPM modeliu. Didžiausia rizika ir didžiausiu pelningumu pasižymi 10 portfelis, kurį sudaro 50 procentų AB „Lesto“ ir 50 procentų AB „Vilniaus degtinė“ akcijų. [Iš leidinio]Reikšminiai žodžiai: APT; CAPM; Investicinių portfelių formavimo modeliai; Investicinių portfelių modeliai; Markowitz modelis; APT; CAPM; Investment portfolio construction models; Investment portfolio models; Markowitz model.

ENThe paper explores investment portfolio construction models by focusing on building such a portfolio that ensures profit and encourages investors to search for undervalued or profitable assets. Thus, investors, who want to manage their investment effectively, have to evaluate many factors and use criteria that facilitate the systematic development of investment policy, which allows for higher return with a reasonable risk level. Stock portfolio construction is a relatively new investment and savings scenario in the Baltic stock market but stock trading is becoming more simple with the development of IT and therefore the market is becoming more active and the number of active investors has been increasing. The research questions include: whether the APT model is appropriate for investment portfolio construction and its performance assessment; how macroeconomic variables in the APT model explain variation in stock returns. The research object is investment portfolio construction using various models. The goal of the research is to generalize the findings of empirical research into investment portfolio construction and to construct portfolios from the stocks listed on the NASDAQ OMX Baltic Stock Exchange. The research objectives are as follows: 1. To identify portfolio construction models in empirical research. 2. To analyze the applicability of the APT model for portfolio construction based on the empirical research carried out in 1991–2014. 3. To identify those macroeconomic factors in the APT model that have influence stock returns. 4. To construct portfolios based on the Markowitz and the CAPM models using the NASDAQ OMX Baltic market data. Research methods: analysis and synthesis, comparison, grouping, detailing and generalizing.Conclusions. The H. Markowitz model is based on microeconomic analysis and does not account for macroeconomic aspects. The CAPM model distinguishes and classifies the total risk into systematic and nonsystematic risks. It allows to link the risk and return of the given assets. The essence of the APT model is that, when assessing a portfolio risk, it allows to model the effects of various economic scenarios on portfolio returns. The APT model could be applied for strategic portfolio construction and would allow to meet an investor's specific interests and planning. The Arbitrage Pricing Theory can effectively forecast stock returns. The findings of the empirical research confirm that the major macroeconomic variables influence stock returns. Inflation, production volumes, money supply, exchange rate and industrial production influence stock returns. The authors of the paper selected stock returns of 4 companies: AB "Lesto", AB "Nordecon", AB "Vilniaus baldai", AB "Vilniaus degtinė" from 13 February 2014 to 13 March 2015. Using the Markowitz model and the Nasdaq OMX Baltic market data, 42 portfolios were constructed. It was found that 2 portfolios that included AB "Lesto" and AB "Vilniaus baldai" stocks had the highest risk and return. Using the CAPM model, 21 portfolios were constructed and it was found that portfolio No. 10, which included 50% of AB "Lesto" and 50% of AB "Vilniaus degtinė" stocks, had the highest risk and return. [From the publication]

• Vadyba / Management
• Ekonomika / Economics