Export file:


  • RIS(for EndNote,Reference Manager,ProCite)
  • BibTex
  • Text


  • Citation Only
  • Citation and Abstract

The restructuring of the investment portfolio: the risk and effect of the emergence of new combinations

Doctor of Economics, Institute of Economics of the Russian Academy of Sciences, 32, Nakhimovsky prospekt, Moscow, 117218, Russian Federation

Special Issues: Profiling asset holders

The purpose of the research is to study the problem of restructuring the investment portfolio with the identification of the risk, profitability and the emergence impact of the new portfolio object on the process of changing its structure. The most important properties of portfolio allocation of investment should be identified on a simple class of models. Therefore, the optimization models of maximizing return and minimizing the total risk of the portfolio are chosen as a methodology for the study. Structural analysis of investment distribution between portfolio objects in statics is also applied. To solve the problem of finding the extremum of the return function and the total risk, which is estimated by the value of the covariance of return on investment in the portfolio objects, the gradient projection method is used, the algorithm of which allows to obtain an iterative picture of the risk and return changes on objects and for the investment portfolio as a whole. The result of the research is to obtain different distribution structures of the investment portfolio and identify the properties of its restructuring with the emergence of the new combination. In addition, it is established that the new combination, depending on risk and return, can lead to such restructuring of the investment portfolio. The portfolio of reforms also falls under the logic of the portfolio task. There may be a characteristic point where the same ratio of risk and return is provided by different structures of distribution of investment, which increases the need for qualitative assessments of those areas that require development and investment. This places special demands on the development of modern structural policies and institutional adjustments that governments have resorted to.
  Article Metrics


1.Adami C, Schossau J, Hintze A (2016) Evolutionary game theory using agent-based methods. Phys Life Rev 19: 1–26.    

2.Babu S, Mohan U (2018) An integrated approach to evaluating sustainability in supply chains using evolutionary game theory. Comput Oper Res 89: 269–283.    

3.Barnes B, Giannini F, Arthur A, et al. (2019) Optimal allocation of limited resources to biosecurity surveillance using a portfolio theory methodology. Ecol Econ 161: 153–162.    

4.Bowles S (2006) Microeconomics: Behavior, Institutions, and Evolution, Princeton University Press, Princeton, NJ, 608.

5.Brainard WC, Tobin J (1992) On the Internationalization of Portfolios. Oxford Econ Pap 44: 533–565.    

6.Byers SS, Groth JC, Sakao T (2015) Using portfolio theory to improve resource efficiency of invested capital. J Cleaner Prod 98: 156–165.    

7.Elsner W, Heinrich T, Schwardt H (2015) Tools II: More Formal Concepts of Game Theory and Evolutionary Game Theory, The Microeconomics of Complex Economies, 193–226.

8.Guerard JB, Markowitz H, Xu G (2015) Earnings forecasting in a global stock selection model and efficient portfolio construction and management. Int J Forecasting 31: 550–560.    

9.Hanusch H, Chakraborty L, Khurana S (2017) Fiscal Policy Economic Growth and Innovation: An Empirical Analysis of G20 Countries. Levy Economics Institute, Working Paper, No. 883, 16.

10.Hanusch H, Pyka A (2017) Principles of Neo-Schumpeterian Economics. Cambridge J Econ 31: 275–289.

11.Herbert G (2009) The Bounds of Reason: Game Theory and the Unification of the Behavioral Sciences, Princeton, NJ: Princeton University Press.

12.Lhabitant FS (2017) Portfolio Diversification, ISTE Press, Elsevier, 274.

13.Li J-C, Mei D-C (2014) The returns and risks of investment portfolio in a financial market. Phy A 406: 67–72.    

14.Markowitz H, Dijk E (2008) Risk-return analysis, Handb Asset Liab Manage 1: 139–197.

15.Markowitz H (1952) Portfolio Selection. J Financ 7: 77–91.

16.Markowitz H (1991) Individual versus institutional investing. Financ Serv Rev 1: 1–8.    

17.Matthies BD, Jacobsen JB, Knoke T, et al. (2019) Utilising portfolio theory in environmental research-New perspectives and considerations. J Environ Manage 231: 926–939.    

18.Nkeki CI (2018) Optimal investment risks and debt management with backup security in a financial crisis. J Comput Appl Math 338: 129–152.    

19.Ozkan-Canbolat E, Beraha A, Bas A (2016) Application of Evolutionary Game Theory to Strategic Innovation. Proc-Soc Behav Sci 235: 685–693.    

20.Paut R, Sabatier R, Tchamitchian M (2019) Reducing risk through crop diversification: An application of portfolio theory to diversified horticultural systems. Agric Sys 168: 123–130.    

21.Ravindran A, Ragsdell KM, Reklaitis GV (1983) Engineering optimization: methods and application, New York: Wiley, 681.

22.Sachse K, Jungermann H, Belting JM (2012) Investment risk-The perspective of individual investors. J Econ Psychol 33: 437–447.    

23.Saviotti PP, Pyka A, Jun B (2016) Education, structural change and economic development. Struct Change Econ Dyn 38: 55–68.    

24.Schumpeter JA (2008) The Theory of Economic Development: An Inquiry into Profits, Capital, Credit, Interest and the Business Cycle, New Brunswick (U.S.A) and London (U.K.): Transaction Publishers, 267 .

25.Serletis A (2001) Portfolio Theories of Money Demand, In: The Demand for Money, Springer, Boston, MA, 113–121.

26.Sharpe WF (1970) Portfolio theory and capital markets, McGraw-Hill, 316.

27.Sharpe W, Gordon JA, Bailey JW (1998) Investments, Prentice Hall, 962.

28.Shinzato T (2018) Maximizing and minimizing investment concentration with constraints of budget and investment risk, Phy A 490: 986–993.

29.Sohrabi MK, Azgomi H (2019) Evolutionary game theory approach to materialized view selection in data warehouses. Know-Based Syst 163: 558–571.

30.Tobin J, Hester D (1967) Studies of portfolio behavior, Cowles Foundation monograph, No. 20; New York et al.: J. Wiley and Sons. 268.

31.Wang H, Liang P, Li H, et al. (2016) Financing Sources, R&D Investment and Enterprise Risk. Proc Comput Sci 91: 122–130.    

32.Way R, Lafond F, Lillo F, et al. (2019) Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves. J Econ Dyn Control 101: 211–238.    

33.Yi Z, Xin-gang Z, Yu-zhuo Z, et al. (2019) From feed-in tariff to renewable portfolio standards: An evolutionary game theory perspective. J Clea Prod 213: 1274–1289.    

34.Zhang S, Zhao T, Xie BC (2018) What is the optimal power generation mix of China? An empirical analysis using portfolio theory. Appl Energy 229: 522–536.

© 2019 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0)

Download full text in PDF

Export Citation

Article outline

Show full outline
Copyright © AIMS Press All Rights Reserved