OʻZBEKISTON FOND BOZORIDA AKSIYADORLIK JAMIYATLARI AKSIYALARI ASOSIDA INVESTITSION PORTFELNI SHAKLLANTIRISH, OPTIMALLASHTIRISH VA RISKINI BAHOLASH
Keywords:
investitsion portfel, Monte Carlo simulyatsiyasi, Markowitz modeli, CAPM, Sharpe koeffitsiyenti, Jensen Alfa, VaR, CVaR, Oʻzbekiston fond bozori, UCI indeksiAbstract
Ushbu tadqiqotda Oʻzbekiston fond bozorida faoliyat yuritayotgan toʻrtta bank (HMKB, SQB, IPKY, ALKB) va toʻrtta nobank (QZSM, UZTL, URTS, CBSK) aksiyadorlik jamiyatlari aksiyalari asosida shakllantirilgan uchta investitsion portfel (bank portfeli, nobank portfeli va umumiy 8 ta AJ portfeli) tahlil qilingan. Tadqiqotning maqsadi - portfellar daromadliligi va riskini Monte Carlo simulyatsiyasi, H.Markowitzning Oʻrtacha disepersiyani optimallashtirish hamda CAPM modellari orqali kompleks baholashdan iborat. Risksiz stavka 4,66 foiz, benchmark sifatida UCI indeksi qabul qilingan. Olingan natijalar koʻrsatadiki, bank sektori aksiyalari portfel samaradorligining asosiy drayveri hisoblanadi, nobank portfeli zaif diversifikatsiyaga ega, umumiy 8 ta AJ portfeli esa optimal risk-daromad muvozanatini taʼminlaydi.
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