Analysis of non-linear and non-separable by parameters regression equations of a diversified securities portfolio
https://doi.org/10.46845/2073-3364-2023-0-4-33-46
Abstract
Econometrics methods are increasingly being used in practice in various industries and areas of the economy. This article examines the application of econometrics in portfolio analysis. First, we examine a regression equation that estimates the return of a diversified portfolio as a function of its risk. The difficulty here is that this regression is nonlinear and non-separable in terms of parameters. Secondly, to implement the least squares method based on this regression, the use of a computational method of coordinate descent is proposed and investigated. Third, appropriate financial analysis was performed for the mathematical transformations.
About the Authors
И. А. Крамаренко
ИНОТЭКУ ФГБОУ ВО "КГТУ"
Russian Federation
Russian Federation
Irina A. Kramarenko - Candidate of Economic Sciences, Associate Professor of the Department of Economics and Finance of the Institute of Sectoral Economics and Management
Kaliningrad
Yu. Ya. Nastin
INOTECU FGBOU VO "KSTU"
Russian Federation
Russian Federation
Yurii Ya. Nastin - Candidate of Economic Sciences, Associate Professor of the Department of Economic Theory and Instrumental Methods of the Institute of Sectoral Economics and Management
Kaliningrad
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Review
For citations:
Крамаренко И.А., Nastin Yu.Ya. Analysis of non-linear and non-separable by parameters regression equations of a diversified securities portfolio. Baltic Economic Journal. 2023;(4(44)):33-46. (In Russ.) https://doi.org/10.46845/2073-3364-2023-0-4-33-46
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