Econometric Models with Discrete Dependent Variable in Portfolio Analysis

DOI

10.2991/icoeme-19.2019.18How to use a DOI?

Keywords

financial asset; the optimal portfolio; the profitability of the asset; econometric models; discrete dependent variable

Abstract

The authors substantiated the need for the use of econometric models with a discrete dependent variable for modeling investment decisions in the stock market. Sharpe's use of one-factor regression models in portfolio analysis allowed updating the theory of portfolio investment with new results. The authors created the risk structural idea and introduced the portfolio beta concept. Likewise the authors marked that in new econometric models the dependent variable is discrete. In many cases, it is convenient to represent the dynamics of the financial assets profitability in the discrete time series form. The authors justified this way the idea of applying these new models in portfolio investment tasks. The authors considered the possibility of using the binary choice econometric model for modeling the profitability of a market asset. Also the authors obtained the formulas for calculating the yield and variance of the asset on the basis of this model. The authors offered to use this derived formulas in the optimal portfolio of securities construction.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Maria V. Dobrina
AU  - Yana A. Yurova
AU  - Galina V. Shurshikova
PY  - 2019/06
DA  - 2019/06
TI  - Econometric Models with Discrete Dependent Variable in Portfolio Analysis
BT  - Proceedings of the 2nd International Conference on Economy, Management and Entrepreneurship (ICOEME 2019)
PB  - Atlantis Press
SP  - 86
EP  - 90
SN  - 2352-5428
UR  - https://doi.org/10.2991/icoeme-19.2019.18
DO  - 10.2991/icoeme-19.2019.18
ID  - Dobrina2019/06
ER  -