The role of some indicators of financial security in Ukraine in the context of transnationalization and national interests

This paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure. For market risk control, the previously found funds are used and a performance measure optimization commonly used in stock markets is applied to define the best portfolio of funds. Therefore, the resulting optimal portfolio controls the price risk and jointly maximizes a desired performance measure that includes the market risk. Finally, the authors propose an empirical analysis to evaluate the profitability of the suggested two-step optimization for the five BRICS countries and compare the ex-post sample paths of the obtained portfolios for testing the stochastic dominance relations.

The empirical evidence in the developed equity markets such as the United States, the United Kingdom, Germany, Japan and emerging markets had pronounced that there are institutional and individual investors’ cognitive psychology and mental biases in favor of the Growth Stocks, that is, the Growth Stocks are always preferred to the Value Stocks by the investors. The investors most times prefer the Growth Stocks to the Value Stocks irrespective of the stock fundamentals behavior in the equity market. The paper investigated whether Cognitive Psychology and Mental biases affect Portfolio Selection strategies using the Growth or the Value Stocks investment styles in the Nigerian Stock Market. In the study, the summary of the primary data was described and Multinomial Logistic Regression (MLR) models were adopted to make inferential decisions. The paper collected primary data through questionnaire administered to individual and institutional investors on the floor of Nigeria Stock Exchange (NSE). The findings from the analyses conducted confirmed a strong existence of Cognitive Psychology and mental biases in favor of the Growth Stocks in the Nigerian Equity Market. Investors had more belief in Growth Stocks than the Value Stocks notwithstanding the behavior of the market fundamentals. The study recommended that investors should seriously consider occurrences and performance fundamentals in Portfolio Selection in the Nigerian Equity Market.

This paper uses a Multiple Attribute Decision Making (MADM) model to improve the out-of-sample performance of a naïve asset allocation model. Under certain conditions, the naïve model has out-performed other portfolio optimization models, but it also has been shown to increase the tail risk. The MADM model uses a set of attributes to rank the assets and is flexible with the attributes that can be used in the ranking process. The MADM model assigns weights to each attribute and uses these weights to rank assets in terms of their desirability for inclusion in a portfolio. Using the MADM model, assets are ranked based on the attributes, and unlike the naïve model, only the top 50 percent of assets are included in the portfolio at any point in time. This model is tested using both developed and emerging market stock indices. In the case of developed markets, the MADM model had 24.04 percent higher return and 53.66 percent less kurtosis than the naïve model. In the case of emerging markets, the MADM model return is 90.16 percent higher than the naïve model, but with almost similar kurtosis.