Abstract:

The article examines theoretical and applied aspects of the investment portfolio construction. The
mean-variance (Markowitz) model, the single-index (Sharpe) model and the EGP algorithm are being analyzed. As part of practical implementation, the three portfolios of stocks included in the MOEX Russia Index were formed. Their returns were calculated and compared with the benchmark. Conclusions on the applicability of the models were drawn. The effectiveness of the research results is determined by the possibility of using the considered approaches in investment practice.