The article proposes an approach to the formation of optimal investment portfolios according to the criteria of profitability and risk based on the predicted returns of assets obtained using fractal econometric models. It has been hypothesized that this method allows you to create more profitable and low-risk portfolios than in the optimization of historical returns. To test the approach and test the hypothesis, an attempt was made to form various portfolio options from the shares of two Russian issuers. The results obtained allow us to conclude that the proposed approach is promising, and further research is needed.
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