Crisis Phenomena in the Process of Formation of a Market Portfolio

21 Pages Posted: 1 Sep 2012 Last revised: 4 Sep 2012

See all articles by Vigen Babkenovich Minasyan

Vigen Babkenovich Minasyan

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Research Laboratory of Corporate Strategies

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

Minasyan, Vigen Babkenovich, Crisis Phenomena in the Process of Formation of a Market Portfolio (May 1, 2012). Available at SSRN: https://ssrn.com/abstract=2139426 or http://dx.doi.org/10.2139/ssrn.2139426

Vigen Babkenovich Minasyan (Contact Author)

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Research Laboratory of Corporate Strategies ( email )

Moscow
Russia

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