title: ÐÐ½ÑÑÑÑÐ¼ÐµÐ½ÑÑ Ð¼Ð°ÑÐ¸Ð½Ð½Ð¾Ð³Ð¾ Ð¾Ð±ÑÑÐµÐ½Ð¸Ñ Ð² Ð·Ð°Ð´Ð°ÑÐ°Ñ Ð¾Ð¿ÑÐ¸Ð¼Ð¸Ð·Ð°ÑÐ¸Ð¸ Ð¸Ð½Ð²ÐµÑÑÐ¸ÑÐ¸Ð¾Ð½Ð½Ð¾Ð³Ð¾ Ð¿Ð¾ÑÑÑÐµÐ»Ñ
title: Ð²ÑÐ¿ÑÑÐºÐ½Ð°Ñ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð±Ð°ÐºÐ°Ð»Ð°Ð²ÑÐ°
titleType: Subtitle
title: Machine learning tools in the tasks of optimizing an investment portfolio
Creators: name: ÐÐ°ÑÑÐ°Ð»Ð¾Ð², ÐÐ°Ð²Ð¸Ð´
Publisher: name: Ð¡Ð°Ð½ÐºÑ-ÐÐµÑÐµÑÐ±ÑÑÐ³ÑÐºÐ¸Ð¹ Ð¿Ð¾Ð»Ð¸ÑÐµÑÐ½Ð¸ÑÐµÑÐºÐ¸Ð¹ ÑÐ½Ð¸Ð²ÐµÑÑÐ¸ÑÐµÑ ÐÐµÑÑÐ° ÐÐµÐ»Ð¸ÐºÐ¾Ð³Ð¾
Year: 2024
Subjects: Ð¼Ð°ÑÐ¸Ð½Ð½Ð¾Ðµ Ð¾Ð±ÑÑÐµÐ½Ð¸Ðµ
Ð¿Ð¾ÑÑÑÐµÐ»ÑÐ½Ð¾Ðµ Ð¸Ð½Ð²ÐµÑÑÐ¸ÑÐ¾Ð²Ð°Ð½Ð¸Ðµ
ÐÐ°ÑÐºÐ¾Ð²ÐµÑ
KNN
ÐºÐ»Ð°ÑÑÐµÑÐ¸Ð·Ð°ÑÐ¸Ñ
machine learning
portfolio investment
Markovets
clustering

description: Ð¦ÐµÐ»ÑÑ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑÐ²Ð»ÑÐµÑÑÑ ÑÐ¾Ð²ÐµÑÑÐµÐ½ÑÑÐ²Ð¾Ð²Ð°Ð½Ð¸Ðµ ÑÑÑÐµÑÑÐ²ÑÑÑÐ¸Ñ Ð¼Ð¾Ð´ÐµÐ»ÐµÐ¹ Ð¾Ð¿ÑÐ¸Ð¼Ð¸Ð·Ð°ÑÐ¸Ð¸ Ð¿Ð¾ÑÑÑÐµÐ»Ñ Ñ Ð¿Ð¾Ð¼Ð¾ÑÑÑ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð½ÑÑ Ð·Ð½Ð°ÑÐµÐ½Ð¸Ð¹ Ð¿Ð°ÑÐ°Ð¼ÐµÑÑÐ¾Ð² Ð¼Ð¾Ð´ÐµÐ»Ð¸ ÑÑÐµÐ´Ð½ÐµÐ¹ Ð´Ð¸ÑÐ¿ÐµÑÑÐ¸Ð¸ Ð´Ð»Ñ Ð¿Ð¾Ð»ÑÑÐµÐ½Ð¸Ñ Ð½Ð°Ð¸Ð±Ð¾Ð»ÐµÐµ Ð¿ÑÐ¸Ð±ÑÐ»ÑÐ½ÑÑ Ð¸ ÑÑÑÐµÐºÑÐ¸Ð²Ð½ÑÑ Ñ ÑÐ¾ÑÐºÐ¸ Ð·ÑÐµÐ½Ð¸Ñ ÑÐ¸ÑÐºÐ° Ð¿Ð¾ÑÑÑÐµÐ»ÐµÐ¹. ÐÐ±ÑÐµÐºÑ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ â Ð¸Ð½Ð²ÐµÑÑÐ¸ÑÐ¸Ð¾Ð½Ð½ÑÐµ Ð¿Ð¾ÑÑÑÐµÐ»Ð¸ Ð¸ Ð¸Ñ Ð¿Ð°ÑÐ°Ð¼ÐµÑÑÑ ÑÐ¸ÑÐºÐ° Ð¸ Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÐ¸. ÐÑÐµÐ´Ð¼ÐµÑ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ â Ð¼ÐµÑÐ¾Ð´Ñ Ð¾ÑÐµÐ½ÐºÐ¸ Ð¿Ð°ÑÐ°Ð¼ÐµÑÑÐ¾Ð² ÑÐ¸ÑÐºÐ° Ð¸ Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÐµÐ¹, Ð²ÐºÐ»ÑÑÐ°Ñ Ð¿ÑÐ¾ÑÑÐ¾Ð¹ Ð¼ÐµÑÐ¾Ð´ ÑÑÐµÐ´Ð½Ð¸Ñ Ð¸ Ð¼ÐµÑÐ¾Ð´ ÐºÐ»Ð°ÑÑÐµÑÐ¸Ð·Ð°ÑÐ¸Ð¸ KNN. ÐÑÐ½Ð¾Ð²Ð½ÑÐµ Ð·Ð°Ð´Ð°ÑÐ¸, ÑÐµÑÐ°ÑÑÐ¸ÐµÑÑ Ð² Ð´Ð°Ð½Ð½Ð¾Ð¹ ÑÐ°Ð±Ð¾ÑÐµ: - Ð¿ÑÐ¾Ð¸Ð·Ð²ÐµÑÑÐ¸ Ð°Ð½Ð°Ð»Ð¸Ð· Ð¾ÑÐ½Ð¾Ð²Ð½ÑÑ Ð¿Ð¾Ð´ÑÐ¾Ð´Ð¾Ð² Ðº Ð¾ÑÐµÐ½ÐºÐµ Ð¿Ð°ÑÐ°Ð¼ÐµÑÑÐ¾Ð² Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÐ¸ Ð¸ ÑÐ¸ÑÐºÐ°; - Ð¿ÑÐ¾Ð¸Ð·Ð²ÐµÑÑÐ¸ Ð°Ð½Ð°Ð»Ð¸Ð· Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ð¹, Ð½Ð°Ð¿ÑÐ°Ð²Ð»ÐµÐ½Ð½ÑÑ Ð½Ð° Ð¾ÑÐµÐ½ÐºÑ ÑÑÑÐµÐºÑÐ¸Ð²Ð½Ð¾ÑÑÐ¸ Ð¼Ð¾Ð´ÐµÐ»ÐµÐ¹ Ð¼Ð°ÑÐ¸Ð½Ð½Ð¾Ð³Ð¾ Ð¾Ð±ÑÑÐµÐ½Ð¸Ñ; - Ð½Ð°Ð¿Ð¸ÑÐ°ÑÑ Ð°Ð»Ð³Ð¾ÑÐ¸ÑÐ¼ Ð¾ÑÐ±Ð¾ÑÐ° ÑÐµÐ½Ð½ÑÑ Ð±ÑÐ¼Ð°Ð³ Ð¸ ÑÐ¾Ð±ÑÐ°ÑÑ Ð¾Ð¿ÑÐ¸Ð¼Ð°Ð»ÑÐ½ÑÐµ Ð¿Ð¾ÑÑÑÐµÐ»Ð¸ Ð¸Ð· Ð¾ÑÐ¾Ð±ÑÐ°Ð½Ð½ÑÑ ÑÐµÐ½Ð½ÑÑ Ð±ÑÐ¼Ð°Ð³ Ñ Ð¿Ð¾Ð¼Ð¾ÑÑÑ 2 Ð¿Ð¾Ð´ÑÐ¾Ð´Ð¾Ð² Ðº Ð¾ÑÐµÐ½ÐºÐµ Ð¿Ð°ÑÐ°Ð¼ÐµÑÑÐ¾Ð² ÑÐ¸ÑÐºÐ° Ð¸ Ð´Ð¾ÑÐ¾Ð´Ð½Ð¾ÑÑÐ¸ Ñ 2015 Ð³Ð¾Ð´Ð° Ð¿Ð¾ 2023 Ð³Ð¾Ð´Ð°. - Ð¾Ð¿Ð¸ÑÐ°ÑÑ Ð¿Ð¾Ð»ÑÑÐµÐ½Ð½ÑÐµ ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÑ Ð¸ Ð²ÑÑÐ²Ð¸ÑÑ Ð½Ð°Ð¸Ð±Ð¾Ð»ÐµÐµ Ð¸ Ð½Ð°Ð¸Ð¼ÐµÐ½ÐµÐµ ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÐ¸Ð²Ð½ÑÐµ Ð¸Ð· Ð½Ð¸Ñ. ÐÐºÑÑÐ°Ð»ÑÐ½Ð¾ÑÑÑ ÑÐµÐ¼Ñ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð½Ð¾ÑÐ¸Ñ Ð¿ÑÐ¸ÐºÐ»Ð°Ð´Ð½Ð¾Ð¹ ÑÐ°ÑÐ°ÐºÑÐµÑ Ð¸ Ð¼Ð¾Ð¶ÐµÑ Ð±ÑÑÑ Ð¸ÑÐ¿Ð¾Ð»ÑÐ·Ð¾Ð²Ð°Ð½Ð° ÐºÐ°Ðº ÑÐ°ÑÑÐ½ÑÐ¼Ð¸, ÑÐ°Ðº Ð¸ Ð¸Ð½ÑÑÐ¸ÑÑÑÐ¸Ð¾Ð½Ð°Ð»ÑÐ½ÑÐ¼Ð¸ Ð¸Ð½Ð²ÐµÑÑÐ¾ÑÐ°Ð¼Ð¸ Ð´Ð»Ñ Ð¾Ð¿ÑÐ¸Ð¼Ð¸Ð·Ð°ÑÐ¸Ð¸ Ð¸Ð½Ð²ÐµÑÑÐ¸ÑÐ¸Ð¾Ð½Ð½ÑÑ Ð¿Ð¾ÑÑÑÐµÐ»ÐµÐ¹. ÐÑÑÐ¾ÑÐ½Ð¸ÐºÐ°Ð¼Ð¸ Ð¸Ð½ÑÐ¾ÑÐ¼Ð°ÑÐ¸Ð¸ ÑÐ²Ð»ÑÐ»Ð¸ÑÑ ÑÐ°Ð·Ð»Ð¸ÑÐ½ÑÐµ Ð½Ð°ÑÑÐ½ÑÐµ ÑÐ°Ð±Ð¾ÑÑ Ð½Ð° ÑÑÑÑÐºÐ¾Ð¼ Ð¸ Ð¸Ð½Ð¾ÑÑÑÐ°Ð½Ð½Ð¾Ð¼ ÑÐ·ÑÐºÐ°Ñ. ÐÑÐµ ÑÐ°ÑÑÐµÑÑ, Ð¾Ð¿Ð¸ÑÐ°Ð½Ð½ÑÐµ Ð² Ð¿ÑÐµÐ´ÑÑÐ°Ð²Ð»ÐµÐ½Ð½Ð¾Ð¹ ÑÐ°Ð±Ð¾ÑÐµ, Ð¿ÑÐ¾Ð²Ð¾Ð´Ð¸Ð»Ð¸ÑÑ Ñ Ð¿Ð¾Ð¼Ð¾ÑÑÑ ÑÐ·ÑÐºÐ° Ð¿ÑÐ¾Ð³ÑÐ°Ð¼Ð¼Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ Python.
description: The aim of the study is to improve existing portfolio optimization models using predictive values of the parameters of the average variance model to obtain the most profitable and risk-effective portfolios. The object of the study is investment portfolios and their risk and return parameters. The subject of the study is methods for assessing risk and profitability parameters, including the simple method of averages and the KNN clustering method. The main tasks to be solved in this work: - to analyze the main approaches to assessing profitability and risk parameters; - to analyze research aimed at evaluating the effectiveness of machine learning models; - write an algorithm for selecting securities and collect optimal portfolios from selected securities using 2 approaches to assessing risk and profitability parameters from 2015 to -2023. - describe the results obtained and identify the most and least effective of them. The relevance of the research topic is applied and can be used by both private and institutional investors to optimize investment portfolios. The sources of information were various scientific papers in Russian and foreign languages. All calculations described in the presented work were carried out using the Python programming language.