Dmitry V. KandaurovPublished in:
Russian Journal of Entrepreneurship
– Volume 17, Number 23 (December 2016)

JEL classification: G11, G15, G23

Keywords: interconnection between net share sales and results of the managerial activity, international diversification, mutual investment fund, optimal portfolio


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Abstract:

The article reviews effectiveness of international diversification of the investment portfolio from the viewpoint of a manager of a mutual investment fund. The study is based on the model for formation of an optimal portfolio aimed at maximization of the revenue of a manager of a mutual investment fund. The model for optimization takes into account the change of the cost of the fund's net assets due to acquisition and payment of shares by investors. Semi-parametric regression is used for the purpose of making a model for the net inflow of money in the fund from shareholders. The research results have shown that the globally diversified fund more satisfies preferences of shareholders in relation to risk and profits. Nevertheless, effectiveness of diversification changes with time and depends on speciality of the fund.

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