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The search for optimal decision-making in financial markets is highly relevant due to the strong growth in popularity of the stock market in Russia, the number of brokerage accounts on the Moscow Exchange has grown more than 20 times over ten years and reached 36 million. The small number and availability of scientific research to the general population do not cover the increased demand. The article presents the results of a study in the field of searching for optimal decision-making using the mathematical model of Markowitz optimization, the Sharpe ratio and criteria of game theory with nature Wald, Savage, Laplace, maximax and Hurwitz. Using the sliding correlation method, two assets are selected, which are used in the formation of 11 strategies. Game theory with nature allows to solve the problem of finding the optimal strategy in an environment with high entropy, i.e. high or complete uncertainty. Particular attention is paid to the Hurwitz criterion, which allows to introduce an additional variable and determine several strategy options depending on the level of optimism of the player. The paper presents calculations on real data on selected assets for a period of 10 years from 2015 to 2024. The 10-year sample includes information on both periods of increased volatility (crises) and periods with low uncertainty, which makes this study objective. Based on the results of the work, a methodology for determining the priority sequence of strategy selection is proposed. The calculations demonstrated the correctness of the proposed concept, the method improved the search for decision making and expanded the traditional approach of modern portfolio theory.
Keywords:modern Markowitz theory, Sharpe ratio, game theory with nature, Wald, Savage, Laplace, maximax and Hurwitz criteria
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