Development of Models of Optimal Investment Strategies

Abstract

The aim of the study is to model the stochastic average annual return on the investment portfolio of pension savings for various combinations of asset weights over a 40-year horizon, with an assessment of the risk level for each combination. To estimate the loss of portfolio VaR, an approach that combines copula functions, extreme value theory (EVT) and GARCH models is used. The main results obtained are the following: the average annual return and risk levels of the conservative and expanded portfolios of Vnesheconombank of Russia over the long-term investment period are predicted; a comparative analysis of the impact on the portfolio of legislative restrictions on the assets of the portfolio of pension savings and restrictions on the portfolio VaR; optimal strategies have been selected to achieve a level of pension provision that meets international standards, with a minimum risk. The results of the study and the optimization procedure proposed in the work can be applied in the field of asset management and risk management.