Financial Leverage Usage for Active Management of the Investment portfolio/Finansinio Sverto Naudojimas Aktyviai Valdant Investiciju Portfeli

By Rutkauskas, Aleksandras Vytautas; Zilinskij, Grigorij | Business: Theory and Practice, September 2010 | Go to article overview

Financial Leverage Usage for Active Management of the Investment portfolio/Finansinio Sverto Naudojimas Aktyviai Valdant Investiciju Portfeli


Rutkauskas, Aleksandras Vytautas, Zilinskij, Grigorij, Business: Theory and Practice


1. Ivadas

Pletojantis finansu rinkoms, didejant finansiniu priemoniu ivairovei vis daugiau investuotoju linke mazinti investavimo rizika sudarydami diversifikuota vertybiniu popieriu portfeli. Portfelio sudarymo ypatybes nagrineja modernioji portfelio teorija, kurios pradininkas--H. Markowitz (1952). Moderniosios portfelio teorijos tesinys yra kapitalo rinkos teorija, kuri teigia, kad investuotojas gali pasiekti geresni nei H. Markowitz pelno ir rizikos derini derindamas rizikingus ir nerizikingus aktyvus. Technine pazanga, naujos prognozavimo priemones ir programos bei didejantis rinku nepastovumas vercia investuotojus vis dazniau rinktis aktyvaus portfelio valdymo strategija, kurios principas daryti didziausias investicijas i rizikingus aktyvus, kai numatomas ju kainu augimas, ir rinktis nerizikingas investicijas numatomo rinku smukimo laikotarpiu. Bazine kapitalo rinkos teorija neivertina visu investuotojo patiriamu finansiniu sanaudu ir apribojimu, kurie aktyviai valdant portfeli gali tureti didele itaka investavimo rezultatams, tad gali klaidinti investuotojus.

Tyrimo objektas--investiciju portfelio sudarymas ir aktyvus valdymas naudojant finansini sverta Lietuvos vertybiniu popieriu (VP) rinkoje.

Straipsnio tikslas--ivertinti kapitalo rinkos teorijos prielaidu neatitikties realioms rinkos salygoms poveiki aktyviai valdomo portfelio rizikos ir pelningumo kombinacijoms bei finansinio sverto naudojimo tikslinguma aktyviai valdant investiciju portfeli Lietuvos VP rinkoje.

Siekiant uzsibrezto tikslo numatoma:

--Atlikti portfelio teoriju analize ir parinkti tinkamiausia tyrimo objektui teorija.

--Pasiulyti teorini hipotetini finansinio sverto naudojimo, aktyviai valdant investiciju portfeli, modeli, pateikti jo grafini vaizda.

--Imituoti aktyvu portfelio valdyma Lietuvos VP rinkoje ir ivertinti pasiulyto modelio taikymo tikslinguma.

Atsizvelgiant i iskelta tiksla buvo atlikta moksliniu saltiniu analize, sukurtas hipotetinis portfelio pelningumo bei rizikos ivertinimo modelis, pateiktas grafinis pelningumo ir rizikos kombinaciju vaizdas, taikant kiekybinius matematinius ir statistinius metodus buvo imituotas aktyvus portfelio valdymas Lietuvos vertybiniu popieriu rinkoje.

Siekiant uzsibreztu uzdaviniu sprendimo straipsnyje taikyta: moksliniu saltiniu analize ir apibendrinimas, hipotetinis modeliavimas, grafinis vaizdavimas ir lyginimas, kiekybiniai matematiniai ir statistiniai tyrimo metodai.

2. Teoriniai investiciju portfelio sudarymo aspektai

Zvelgiant is privataus investuotojo poziciju, investavimas, kurio sudetine dalimi gali buti investiciju portfelio sudarymas ir valdymas, yra asmeniniu finansu valdymo dalis. Asmeniniu finansu valdymo ir asmens investiciju i finansines priemones pletros galimybes Lietuvoje placiai nagrineja D. Jureviciene ir A. Klimaviciene (2007, 2008). Autores teigia, kad svarbu sukurti toki matematiskai pagrista asmeniniu finansu valdymo modeli, kuris savo parametrais atspindetu realybe. Pagrindiniai tokio modelio parametrai galetu buti: esamos ir prognozuojamos pajamos, palukanu norma, infliacija, tiketinas pelningumas, asmens amzius ir investicinis horizontas, seimos sudetis, pradines finansines pozicijos, asmens rizikos tolerancijos koeficientas (Jureviciene, Klimaviciene 2008). Akivaizdu, kad dalis is minetu parametru yra aktualus butent investavimui, taip pat investiciju portfelio sudarymui ir valdymui.

Moderniosios portfelio teorijos pradininku laikomas H. Markowitz (1952, 1959) savo darbuose pavartojo terminus tiketinas portfelio pelningumas, portfelio rizika, portfelio diversifikavimas ir efektyvus portfelis. Remiantis H. Markowitz portfelio teorija, investuotojas, priimdamas sprendima del portfelio pasirinkimo, siekia maksimizuoti laukiama portfelio pelninguma ir minimizuoti rizika.

H. Markowitz portfelio teorija leidzia nustatyti efektyviaja portfelio riba (placiau apie efektyvios ribos nustatyma zr. …

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