Determination of the expected return corridor of a risky asset with a known procedure for buying shares

Niсonenko Natalya

The article discusses the approach to determining the expected profitability of a risky asset, if the procedure for buying up shares is known. A class of models is investigated that depends on indicators of buying and rising, falling or unchanged stock prices. In the case of a known purchase order, one of the indicators is definite. Methods for calculating the mathematical expectation and variance are used to calculate the expected yield corridor. A covariance matrix is used to determine the variance. An estimate was obtained for the corridor of expected profitability Р {An} ≥1-α, where α is the level of significance that is specified; α is a (usually small) number. The coefficient k depends on the significance level α: k = k (α). The parameter k (α) is found programmatically, using numerical methods of integration and solving the equation, namely the Simpson method and Newton's method, respectively.

Keywords:risky asset; expected return; the expected yield corridor; martingale measure; conditional mathematical expectation; covariance matrix.