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Оценка риска инвестирования с использованием относительного диапазона колебаний цены актива
Subject \ topic. The concept of risk and return is a key element In the modern theory of Finance management. This causes the development of methods of risk assessment, construction of models linking risk and return, as well as the need for their use in the solution of applied problems. The critical role of this concept acquires while investing in the financial markets.
Objectives/targets. The aim of the work is the development of methods for the assessment of investment risk on the basis of the indicator that is different from the one used at this stage of risk management. To achieve the goal was solved a number of problems: the analysis of current methods of evaluating investment risks, identification of deficiencies and general properties, the analysis of the forecasting properties of the model data. The next step was the development of the indicator that is not associated with the estimate of the deviation of a random variable from its mean value. The conditions imposed on him, was his predictive properties and the possibility of estimating the probability of an unfavorable outcome.
Methodology. A simulated trading using historical data trend in the prices of different assets was performed in this study. Further, the impacts of intraday trading on the securities market, simultaneously with the assessment of the daily range were analyzed using statistical methods.
Results. The result of this research is development of an indicator based on the relative vibrations of the asset price. This indicator is directly related to the assessment of the probability of losses as a result of investment activities, as well as the possibilities of forecasting. Also recommendations for improving the profitability of investing using the techniques are presented.
The scope of the results. The results can be used to assess the likelihood of unfavorable periods in the investment process and increase the efficiency of exchange-traded financial assets traded on organized markets.
Conclusion. The authors make conclusion about the applied relevance of the result, and the need to further develop methods of