A new approach to risk assessment of securities portfolios
Abstract
In finance and portfolio management, portfolio volatility is often used as an indicator of risk – it is the standard deviation of return, which reflects the degree of uncertainty of investment results. The volatility and, accordingly, the portfolio standard deviation indicator according to the author of this article is influenced not only by the composition, but also by the volume of investments depending on the market situation. This statement is the key idea of the paper, which leads to conclusions that challenge the currently accepted portfolio theory in terms of measuring risks in investments through the volatility of securities returns. In reality, volatility only shows the degree of variability in the price of an asset, while more significant for the investor is the risk of capital loss due to external conditions, such as bankruptcy of the company, reduction in its market share, internal corporate conflicts, ineffective management and so on. Thus, the main purpose of this paper is to build an investment portfolio model that would prove the non-identity of the concepts of risk and volatility in investments, and also raises the question of finding new ways to measure risk in portfolio investments.
About the Authors
B. T. Yakupov
Center of Advanced Economic Research in the Academy of Sciences of the Republic of Tatarstan
Russian Federation
Russian Federation
Graduate Student
L. N. Safiullin
Kazan (Volga Region) Federal University
Russian Federation
Russian Federation
Doctor in Economics, Professor
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Review
For citations:
Yakupov B.T., Safiullin L.N. A new approach to risk assessment of securities portfolios. Kazan economic vestnik. 2023;1(2):71-82. (In Russ.)
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