Crisis Phenomena in the Process of Formation of a Market Portfolio
21 Pages Posted: 1 Sep 2012 Last revised: 4 Sep 2012
Date Written: May 1, 2012
Abstract
The purpose of this research is revelation of mechanisms of emerging crisis, turbulent events in markets, with singling out the advantageous stable phase, turbulent phase and non-advantageous stable phase.
The idea of this work was to research impact of change of assets market parameters in the market on state of the marker portfolio. The basic methodological approach in this research is the methodology of the modern portfolio theory.
The essential result of this work is: Revelation of conditions of existing the advantageous stable market state, conditions of leap-wise transition of the market into the turbulent phase and conditions of emerging the non-advantageous stable market state.
This result is suggested which assists, when performing practical management of assets and portfolios, in understanding closeness of critical events and making decisions related to risk management. It may also become a signal to possible changes of principles of market regulation for the government and regulating authorities.
Keywords: Market portfolio, expected return, volatility, covariance, b coefficient, Markowitz umbrella, stable state of the market, turbulent phase, critical market phenomena
JEL Classification: G11, G14, G18, G32, M38
Suggested Citation: Suggested Citation