IMPROVING APPROACHES TO THE DIVERSIFICATION OF THE SECURITIES PORTFOLIO BY COUNTRY FOR RUSSIAN INVESTORS

Abstract

The paper presents an approach to the formation of an investment portfolio that includes securities of various countries. The study is closely related to the portfolio theory of G. Markowitz, who believed that the created portfolio should consist only of optimally selected assets with the necessary risk-return ratio for the investor. Reducing the risk level of the securities portfolio is possible due to its diversification by country. The authors refer to the data of the authoritative analytical financial company MSCI, which for more than half a century has been compiling and publishing indices covering many stock markets of the world. The paper presented the classification of MSCI country indices for three types of markets, as well as calculated the risks for each of them. As a measure of risk, the authors use the standard deviation. The last stage of the study involves the construction of correlation matrices to determine the smallest relationship between the considered indices. Further, based on the correlation analysis, the authors identified 'friendly' countries for the formation of an investment portfolio with minimal risk. They form a portfolio with less risk than the risk of individual indices that make it up. The approach considered in the paper may become relevant in 2023 when the Central Bank of the Russian Federation expands the list of countries whose shares are available to Russian investors.