Formation of the Investment Portfolio on the Basis of Adaptive-Discrete Model, Considering Globalization Effects
Viktoriya I. Tinyakova1, Valeriy V. Davnis2, Evgeniy V. Miroshnikov3, Marina A. Chervontseva4, Irina Yu. Proskurina5
1Viktoriya I. Tinyakova, Belgorod State University Pobedy Str. Belgorod, Russia.
2Valeriy V. Davnis, Belgorod State University Pobedy Str. Belgorod, Russia.
3Evgeniy V. Miroshnikov, Belgorod State University Pobedy Str. Belgorod, Russia.
4Marina A. Chervontseva, Belgorod State University Pobedy Str. Belgorod, Russia.
5Irina Yu. Proskurina, Voronezh State University of Forestry and Technologies named after G. F. Morozov Timiryazeva Str, Voronezh, Russia.
Manuscript received on 15 September 2019 | Revised Manuscript received on 24 September 2019 | Manuscript Published on 10 October 2019 | PP: 1107-1111 | Volume-8 Issue-6S2, August 2019 | Retrieval Number: F13270886S219/19©BEIESP | DOI: 10.35940/ijeat.F1327.0886S219
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: The need to reflect the effects of globalization in portfolio investment models is currently beyond doubt. The problem is that these effects are of both continuous and discrete nature. To reflect their joint influence on the investment decision, it is proposed to use an adaptive regression modeling device. The versatility of the adaptive adjustment of the coefficients of econometric models provides the ability to reflect in the portfolio investment model discrete-continuous effects. Computational experiments with a model that implements the proposed approach to the formation of investment decisions in the context of globalization have shown a significant preference for the resulting portfolio solutions compared to the classical ones.
Keywords: Securities Portfolio, Globalization, Forecasting, Adaptive Modeling, Discrete Choice Model, Adaptive-Discrete Model.
Scope of the Article: Open Models and Architectures