Methodology for calculating risk factors and assessing the sensitivity of portfolio asset returns when investing in personnel

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The authors previously proposed an economic and mathematical model of investing in personnel and also the algorithm for determining of risk-free and the size of non-market risks. The goals of the article are to develop the threat rates and risk sensitive search methods during engineering of investment portfolio through arbitrage pricing theory for investment in personnel to return on investment. Questions of risk evaluation when choosing assets to invest in human capital of a company are fully provided. The covariance structure of allocation of funds of risk-free part of investment portfoliois addressed, that helps to calculate covariance between return on assets and threat rates of investment patterns that is necessary to find factor betas of portfolio. Also, the matrix of budget sharpening is offered that shows the detail investment budget’s risk-free pieces split for all assets having regard to risks. The elements got standard interpretation. Then there is the balance condition that is to implement the proof of calculation. Finally, the method of how to calculate and estimate them is given.

About the authors

Anastasia Yu. Balaeva

Samara National Research University

Author for correspondence.
ORCID iD: 0000-0001-8308-362X

Candidate of Economic Sciences, lecturer of the Department of Economics

Russian Federation, 34, Moskovskoye shosse, Samara

Andrey A. Belyakov

Samara National Research University

ORCID iD: 0000-0002-5789-8048


Russian Federation, 34, Moskovskoye shosse, Samara


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