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Determination of the expected return corridor of a risky asset with a known procedure for buying shares

Niсonenko Natalya   (candidate of physico-mathematical sciences, associate Professor, South-Russian Institute of management – branch of the Russian Presidential Academy of National Economy and Public Administration (RANEPA))

The article discusses the approach to determining the expected profitability of a risky asset, if the procedure for buying up shares is known. A class of models is investigated that depends on indicators of buying and rising, falling or unchanged stock prices. In the case of a known purchase order, one of the indicators is definite. Methods for calculating the mathematical expectation and variance are used to calculate the expected yield corridor. A covariance matrix is used to determine the variance. An estimate was obtained for the corridor of expected profitability Р {An} ≥1-α, where α is the level of significance that is specified; α is a (usually small) number. The coefficient k depends on the significance level α: k = k (α). The parameter k (α) is found programmatically, using numerical methods of integration and solving the equation, namely the Simpson method and Newton's method, respectively.

Keywords:risky asset; expected return; the expected yield corridor; martingale measure; conditional mathematical expectation; covariance matrix.
 

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Citation link:
Niсonenko N. Determination of the expected return corridor of a risky asset with a known procedure for buying shares // Современная наука: актуальные проблемы теории и практики. Серия: Естественные и Технические Науки. -2021. -№01. -С. 102-108 DOI 10.37882/2223-2966.2021.01.23
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