English
Русский
Issue:
Pages:
56-63
UDC Code:
334.758.4:338.45:622.276:004.7
Rubric:
This article considers the problem of forecasting stock prices using the example of the largest oil companies in Russia (Rosneft, Lukoil, Gazpromneft and Surgutneftegaz) using artificial neural networks, and also analyzes the profitability of an investment portfolio formed from ordinary shares of the four largest oil companies in Russia in equal shares and with optimal their value determined in the course of solving the direct problem according to the G. Markowitz model using predictive values.
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References:
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8. Ivanyuk V.A., Abdikeev N.M. Managing market assets in a crisis, Upravlencheskie nauki, 2018, vol. 8, no. 1, pp. 72–81. (In Russ.)
9. Yarosh A.A., Rakhmatullina Yu.A. The mechanism of formation of the optimal investment portfolio of securities according to the Markovitz model on the example of shares of the largest oil companies of the Russian Federation, Sibirskaya finansovaya shkola, 2021, no. 1 (141), pp. 43–47. (In Russ.)
2. Ayuev V.V., Belov Yu.S., Loginov B.M., Loginova M.B. Neirosetevoe modelirovanie v NeuroSolutions. [Neural network modeling in NeuroSolutions], Kaluga: Izdatel'stvo MGTU im. N.E. Baumana, 2015, 324 p.
3. Beloliptsev I.I., Gorbatkov S.A., Romanov A.N., Farkhieva S.A. Modelirovanie upravlencheskikh reshenii v sfere ekonomiki v usloviyakh neopredelennosti [Modeling of management decisions in the field of economics under conditions of uncertainty], Moscow: INFRA-M, 2019, 299 p.
4. Vygodchikova I.Yu. Tools for making decisions about investing in large Russian companies using a hierarchical ranking procedure and a minimax approach, Prikladnaya informatika, 2019, vol. 14, no. 6, pp.123–137 (In Russ.)
5. Gorskii M.A., Sokerin P.O., Yurkevich E.A. Features of application of optimal portfolio models in emerging stock markets, Vestnik Altaiskoi akademii ekonomiki i prava, 2020, no. 5-1, pp. 40–52. (In Russ.)
6. Nazarova E.V., Zhdanova O.A. Investment portfolio formation and optimization models, Uchenye zapiski Rossiiskoi Akademii predprinimatel'stva, 2017, vol. 16, no. 1, pp. 111–117. (In Russ.)
7. Nazarova V.V., Levichev I.P. Development of a model for improving the efficiency of investment portfolio management, Ekonomicheskii zhurnal Vysshei shkoly ekonomiki, 2017, vol. 21, no. 3, pp. 451–481. (In Russ.)
8. Ivanyuk V.A., Abdikeev N.M. Managing market assets in a crisis, Upravlencheskie nauki, 2018, vol. 8, no. 1, pp. 72–81. (In Russ.)
9. Yarosh A.A., Rakhmatullina Yu.A. The mechanism of formation of the optimal investment portfolio of securities according to the Markovitz model on the example of shares of the largest oil companies of the Russian Federation, Sibirskaya finansovaya shkola, 2021, no. 1 (141), pp. 43–47. (In Russ.)
