FORMATION OF A SECURITIES PORTFOLIO BASED ON THE MARKOWITZ-SHARPE METHODOLOGY

Abstract

The paper presents a methodology for forming an optimal securities portfolio using the Markowitz-Sharpe methodology. This study is relevant in today's unstable financial markets and increasing uncertainty, forcing investors to look for ways to minimize risks while maintaining an acceptable level of profitability. The purpose of the study is to demonstrate how the Markowitz–Sharpe methodology allows us to solve the problem of forming an optimal portfolio of securities that meets the criteria for minimizing risk and ensuring acceptable profitability. Research methods: the Markowitz-Sharpe model was used, which provides for statistical consideration of securities returns as a random variable and portfolio optimization based on the principle of diversification and risk minimization. The study examines the theoretical foundations of portfolio investment laid by G. Markowitz, as well as the further development of ideas in the works of W. Sharp and J. Tobin. The analysis of the features of the application of classical models in modern conditions, when investment decisions are significantly influenced by inflation risks, currency fluctuations, changes in interest rates and political instability. Three portfolios were compared, including stocks of stable, growing and high-potential companies based on empirical data.  The results of the study showed that optimizing the portfolio using the Markowitz-Sharpe model minimizes the total risk while maintaining an acceptable level of profitability. The portfolio with stable stocks (PJSC Tatneft, PJSC Gazprom Neft, PJSC Sberbank) turned out to be the most balanced, providing moderate risk with comparatively higher returns. The practical significance of the work lies in the possibility of applying the proposed methodological approach to the formation of balanced investment strategies in conditions of uncertainty.

Keywords: portfolio profitability, Markowitz-Sharpe model, uncertainty, securities portfolio, portfolio risk, securities

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About the Authors

Marina M. Gayfullina – Cand. Sci. (Economics), Docent; Associate Professor, Ufa State Oil Technical University, Ufa Higher School of Economics and Management, Ufa, Russia. E-mail: marina_makova@list.ru. SPIN РИНЦ 9574-8753. ORCID 0000-0002-8414-6685. Scopus Author ID 57202155449

Gulnara Z. Nizamova – Cand. Sci. (Economics), Docent; Associate Professor, Ufa State Oil Technical University, Ufa Higher School of Economics and Management, Ufa, Russia. E-mail: Gulya182004@list.ru. SPIN РИНЦ 3179-3217. ORCID 0000-0001-8270-0040. Scopus Author ID 57202151885

For citation: Gayfullina M.M., Nizamova G.Z. Formation of a Securities Portfolio Based on the Markowitz-Sharpe Methodology // BENEFICIUM. 2025. Vol. 4(57). Pp. 17-26. (In Russ.). DOI: 10.34680/BENEFICIUM.2025.4(57).17-26