FORMATION OF AN OPTIMALLY DIVERSIFIED INVESTMENT PORTFOLIO

Tursunkhodjayeva Shirin
PhD, Tashkent State University of Economics, Associate Professor of the Department of “Finance and Financial Technologies”, ORCID № 0009-0000-2340-9667 mail: [email protected]
JEL Classification: E22
Abstract. In this article, 6 optimal diversified investment portfolios are formed from risk-adjusted investment performance like Sharp, Trainor, M2, Jensen (alpha) and Sortino coefficients, which are the system of indicators that evaluate the efficiency of the investment portfolio. The main goal of the research was to determine which of the indicators that evaluate the efficiency of the investment portfolio, taking into account the level of financial risk, works more effectively in the conditions of Uzbekistan. In order to, formation diversified investment portfolios set following restrictions as maximizing these indicators, assuming that the amount of capital intended for investment is 100%, the maximum amount of shares of one joint-stock company in one investment portfolio should be up to 25%, and the minimum amount should be above 5%. Share prices of 7 joint-stock companies from the real sector enterprises operating in the Republic of Uzbekistan that are not strongly connected to each other and are leading in the volume of transactions at the “Tashkent Republican Stock Exchange” as an object of research in forming an investment portfolio received. In carrying out the analysis, the activities of joint stock companies and the stock index in the stock market from 2017 to 2024 were taken, respectively. The process of calculating Sharp, Trainor, M2, Jensen (alpha) and Sortino coefficients was taken as a research methodology. In the formation of an optimally diversified investment portfolio, a statistical analysis of the share profitability indicators of these joint-stock companies has been implemented. In this case, the average return, median, standard error, standard deviation, dispersion, excess, asymmetry, as well as the limits of the maximum and minimum values of the share profitability indicators were evaluated. Then, in order not to include strongly correlated shares in the investment portfolio, their correlation analysis was performed. In order to assess the level of financial risk of the general investment portfolio, a variance-covariance analysis of stock returns of joint-stock companies was carried out. Then, investment portfolios were formed based on the system of relative indicators that evaluate investment efficiency, taking into account the level of financial risk. Among these portfolios, the investment portfolio with the highest efficiency was selected as the optimally diversified portfolio.
Keywords: Investment portfolio, financial risk, Sharpe, Trainor, M2, Jensen (alpha) and Sortino coefficient