Time series stationarity and securities portfolio optimization
- 1,2 Financial University under the Government of the Russian Federation (Moscow, Russia)
Abstract
One of the possible attractive investment options is the purchase of securities on the stock market. The investor strives to make a portfolio out of all possible investment instruments available on the exchange, which will be optimal according to a certain criterion. Before analyzing the data, it is necessary to check their stationarity. This is due to the fact that the non-stationary model is unable to accurately reflect the patterns in the data structure, which means that the results obtained may be distorted.
- Received
- 09.10.2024
- Approved after review
- 22.10.2024
- Accepted
- 29.10.2024
How to cite
Добрина М.В., Каверина В.К. Стационарность временных рядов и оптимизация портфеля ценных бумаг // Нелинейный мир. 2024. Т. 22. № 4. С. 108–112. DOI: https://doi.org/10.18127/j20700970-202404-14
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