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Application of modern portfolio theory to the Russian state bond market
Pervozvanski AA, Barinov VJ, Kozlova OE, Pervozvanskaia TN
CONTROL AND CYBERNETICS
28 (4): 799-810 1999

Document type: Article    Language: English    Cited References: 13    Times Cited: 0   

Abstract:
The behaviour of the Russian state bond market is analyzed. Attention is mainly paid to short-term fluctuations and efficiency of short-term investments. Analysis of return time series has shown that there exists a significant autocorrelation, and that distribution of random fluctuations is non-Gaussian. It predetermines a choice of forecasting schemes. The most efficient ones appear to be non-linear. The efficiency was checked not only by the traditional statistical indices but by direct numerical experiments where various types of predictors were used as basic elements of decision rules. The decision algorithms have included the solution to the modified optimal portfolio problem where the forecasts were used as expected returns and the covariance matrix was estimated via, forecasting errors.

Author Keywords:
portfolio optimization, forecasting, Russian state bond market

KeyWords Plus:
CONDITIONAL HETEROSKEDASTICITY

Addresses:
Pervozvanski AA, State Tech Univ St Petersburg, 29 Politekhnicheskaia, St Petersburg 195251, Russia
State Tech Univ St Petersburg, St Petersburg 195251, Russia
St Petersburg State Univ, St Petersburg 191194, Russia

Publisher:
POLISH ACAD SCIENCES SYSTEMS RESEARCH INST, WARSAW

IDS Number:
328MD

ISSN:
0324-8569


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