Economics and Finance

Backtesting Investigation of Effect of the Optimized S&P 500 Portfolio Diversification with L2 Regularization

Authors: Andrei Keino
Comments: 5 Pages.

The article presents problems related the to long - only optimized (with the help of the Markowitz model) portfolio diversification with L2 regularization. The backtesting for stocks selected from some subset of S&P 500 index for the 2002 - 2019 year interval with Markowitz portfolio optimization with L2 regularization was performed. The expected return was varied from 0.1 to 0.25, the regularization parameter was varied in the range 0.05 - 0.15. The results of backtesting are shown. The geometrical average of annual return for year interval 2002 - 2019, was about 0.13 - 0.14 in all the parameter range. It has been exposed, that the mean annual portfolio return for this year range actually nearly not depends on the expected return and the regularization parameter, if they are changes in aforementioned range, but the minima and the maxima of the annual portfolio return, i.e. the variance of the annual portfolio return, moreover, shows more pronounced dependency on these parameters of the optimized portfolio. The data of the backtesting seems to show the heteroscedasticity of a stock market.
Category: Economics and Finance

Через эмиссионное финансирование к безналоговому бюджету и высокоэффективной экономике
Obtaining a Tax-Free Budget and a Highly Efficient Economy Through Financing with Issue Money

Authors: I. Oskembekov
Comments: 19 Pages.

Обеспечение доходов бюджета является важной задачей государства, которую оно преимущественно решало и решает через налогообложение. Однако такой способ решения нельзя считать эффективным. В работе рассмотрены принципиальные недостатки налогообложения, которые отрицательно влияют на экономическое состояние государства. Они, определяя негативную сущность налогообложения, дают основание говорить о задаче обеспечения доходов бюджета, как о проблеме государства. Еще одной важной проблемой является низкая эффективность экономики. Она обусловлена зависимостью экономики от оборотных средств, которая определяет большую долю затрат в производстве продукции. Данные проблемы имеют общее решение, идея которого предложена в работе. Идея сводится к организации новой деятельности, способной полностью обеспечивать доходы бюджета, не прибегая к налогообложению, и способной превратить экономику государства в высокоэффективную систему. На примере государственного бюджета России и российской экономики дано обоснование проблем. Рассмотрен механизм реализации предлагаемой идеи. Дан прогноз показателей новой экономики и бюджета.

Providing budget revenues is an important task of the state, which it has always solved and solves through taxation. However, this solution cannot be considered effective. The paper discusses the fundamental shortcomings of taxation, which negatively affect the economic state of the state. They, defining the negative essence of taxation, give reason to talk about the task of ensuring budget revenues as a problem of the state. Another important problem is the low efficiency of the economy. It is due to the dependence of the economy on working capital, which determines a large share of costs in production. These two problems have a common solution, the idea of which is proposed in the work. The idea boils down to organizing new activities capable of fully providing budget revenues without resorting to taxation, and capable of transforming the state into a highly efficient economic system. The problems are substantiated by the example of the state budget of Russia and the Russian economy. The mechanism for the implementation of the proposed idea is considered. A forecast is given for the indicators of the new economy and budget.
Category: Economics and Finance