Identification of basic criteria of portfolio analysis based on the rolling verification principle

Abstract

The problem of synthesizing the optimal sizes of training samples specific to each of the considered financial instruments is considered and tested in the article, using real examples. The sample size is selected according to the quality criterion which is based on the accuracy of the generated forecasts. The stated algorithm, which serves as the basis for the synthesis of widely diversified portfolios can significantly increase the efficiency of investment decisions. It is facilitated by, taking into account the characteristics of the markets under study.