vestreaВестник Российского экономического университета имени Г. В. ПлехановаVestnik of the Plekhanov Russian University of Economics2413-28292587-9251Plekhanov Russian University of Economics10.21686/2413-2829-2026-2-187-195vestrea-2698Research ArticleФИНАНСЫFINANCEВлияние уровня риск-аппетита на выбор портфеля инвестицийThe Impact of Risk-Appetite on Choosing Investment PortfolioИвановД. Г.IvanovD. G.

Даниил Геннадьевич Иванов - аспирант кафедры экономики, управления и предпринимательства

191023, Санкт-Петербург, Невский пр., д. 60 

Daniil G. Ivanov - Post-Graduate Student of the  Department of Economics, Management and Entrepreneurship60 Nevsky Avenue, Saint Petersburg, 191023, Russian Federation

ivanovdanielgen@internet.ruМеждународный банковский институт имени Анатолия СобчакаРоссияInternational Banking Institute named after Anatoliy SobchakRussian Federation20263103202602187195Copyright © Иванов Д.Г., 20262026Иванов Д.Г.Ivanov D.G.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://vest.rea.ru/jour/article/view/2698

При изучении влияния стадии экономического цикла, в том числе кризиса, на управление портфелем инвестиций, кроме доходности портфеля, необходимо также учитывать предельный уровень возможных потерь, с которыми готов работать инвестор, а именно риск-аппетит как отдельный фактор, который влияет на выбор инвестиционной стратегии. Более того, важным вопросом при изучении темы управления портфелем инвестиций является определение, за какое время до смены стадии экономического цикла необходимо переориентировать портфель инвестиций. Автор считает, что существует временной лаг, коррелирующийся со стадией экономического цикла и имеющий определенную временную продолжительность между переориентацией портфеля инвестиций и сменой стадии цикла экономики для достижения оптимального (с точки зрения рисков и доходности для инвестора) портфеля инвестиций. В связи с тем, что каждый отдельный инвестор имеет свойственный уровень риск-аппетита, то и оптимальную переориентацию портфеля с учетом временного лага необходимо рассматривать при индивидуальном уровне риск-аппетита. В статье представлено современное определение риск-аппетита, проанализировано поведение инвесторов с точки зрения уровня риск-аппетита в разные стадии экономического цикла. В контексте исследования автором использованы методы логического, диалектического и статистического анализа, проведен обзор релевантной литературы и источников информации.

When studying the impact of economic cycle stage, including crisis, on management of investment portfolio it is necessary apart from portfolio profitability to take into account the maximum rate of possible losses, which the investor is ready to work with, i.e. risk-appetite as a separate factor influencing the choice of investment strategy. Moreover, a serious matter in managing investment portfolio is identification of time before the change of economic cycle stage, when it is necessary to re-orient the investment portfolio. According to the author, there is a time lag that correlates with economic cycle stage and possesses certain time duration between re-orientation of investment portfolio and change of economic cycle stage to achieve the optimum investment portfolio, in view of risks and profitability for investor. Due to the fact that each investor has got their own rate of risk-appetite, the optimum re-orientation of portfolio with regard to the time lag shall be discussed with individual rate of risk-appetite. The article provides today’s definition of risk-appetite and analyzes investor behavior in view of risk-appetite rate in different stages of economic cycle. In the research the author used methods of logical, dialectical and statistical analyses and conducted a review of relevant literature and information sources.

переориентация портфеля инвестицийэкономический циклкризисрискre-orientation of investment portfolioeconomic cyclecrisisriskReferencesПалунин Д. Н., Кокош А. М., Сетдеков К. Р. О подходе к оценке риск-аппетита и ранжированию рисков на основании внутреннего кредитного рейтинга организации // Российское предпринимательство. – 2015. – Т. 16. – № 20. – С. 3441–3450.Palunin D. N., Kokosh A. M., Setdekov K. R. O podkhode k otsenke risk-appetita i ranzhirovaniyu riskov na osnovanii vnutrennego kreditnogo reytinga organizatsii [The Approach to Estimating Risk-Appetite and Ranging Risks on the Basis of Internal Credit Rating of Organization]. Rossiyskoe predprinimatelstvo [Russian Entrepreneurship], 2015, Vol. 16, No. 20, pp. 3441–3450. (In Russ.).Физлица в сентябре увеличили инвестиции на фондовом рынке Мосбиржи на 123,4 млрд рублей. – URL: https://www.interfax.ru/business/985100Fizlitsa v sentyabre uvelichili investitsii na fondovom rynke Mosbirzhi na 123,4 mlrd rubley [In September Individuals Increased Investment on Stock Market of the Moscow Exchange by 123.4B rubles]. (In Russ.). Available at: https://www.interfax.ru/business/985100Чем инвесторам запомнился 2022 год: топ-5 потрясений на российском рынке. – URL: https://www.rbc.ru/quote/news/article/63a9aac99a79476688cf5ed6?from=copyChem investoram zapomnilsya 2022 god: top-5 potryaseniy na rossiyskom rynke [Why Investors Remember 2022: Top-5 Shocks on Russian Market]. (In Russ.). Available at: https://www.rbc.ru/quote/news/article/63a9aac99a79476688cf5ed6? from=copyGlobal Equity Funds Faced Huge Outflows Ahead of Fed Decision. – URL: https://www.reuters.com/markets/global-markets-flows-graphic-2024-12-20/Global Equity Funds Faced Huge Outflows Ahead of Fed Decision. Available at: https://www.reuters.com/markets/global-markets-flows-graphic-2024-12-20/Heresi R., Powell A. Corporate Debt and Investment in the Post-Covid World. – URL: https://publications.iadb.org/en/publications/english/viewer/Corporate-Debt-andInvestment-in-the-Post-Covid-World.pdfHeresi R., Powell A. Corporate Debt and Investment in the Post-Covid World. Available at: https://publications.iadb.org/en/publications/english/viewer/Corporate-Debtand-Investment-in-the-Post-Covid-World.pdfInvestor Confidence Decreases 14.4 Points in December to 75.9. – URL: https://www.statestreet.com/web/insights/articles/documents/ssgm-ici-dec-2022-ep.pdfInvestor Confidence Decreases 14.4 Points in December to 75.9. Available at: https://www.statestreet.com/web/insights/articles/documents/ssgm-ici-dec-2022-ep.pdfInvestors Haven't Been This Scared of the Stock Market Since the Shock of the 9/11 Attacks, Bank of America Says. – URL: https://markets.businessinsider.com/news/stocks/investor-sentiment-scared-stock-market-bearish-positioning-inflation-cash-levels-2022-9Investors Haven't Been This Scared of the Stock Market Since the Shock of the 9/11 Attacks, Bank of America Says. Available at: https://markets.businessinsider.com/news/stocks/investor-sentiment-scared-stock-market-bearish-positioning- inflation-cash-levels-2022-9Jarunde N. Exploring Portfolio Diversification for Investments for Reducing Risk and Maximizing Returns // International Journal of Science and Research (IJSR). – 2021. – Vol. 10. – N 6. – P. 1802–1804.Jarunde N. Exploring Portfolio Diversification for Investments for Reducing Risk and Maximizing Returns. International Journal of Science and Research (IJSR), 2021, Vol. 10, No. 6, pp. 1802–1804.Liu J., Cheng Y., Li X., Sriboonchitta S. The Role of Risk Forecast and Risk Tolerance in Portfolio Management: A Case Study of the Chinese Financial Sector // Axioms. – 2022. – Vol. 11. – N 3. – P. 134.Liu J., Cheng Y., Li X., Sriboonchitta S. The Role of Risk Forecast and Risk Tolerance in Portfolio Management: A Case Study of the Chinese Financial Sector. Axioms, 2022, Vol. 11, No. 3, p. 134.Long-Term Investors, Don’t Let a Recession Faze You. – URL: https://www.dimensional.com/us-en/insights/long-term-investors-dont-let-a-recession-faze-youLong-Term Investors, Don’t Let a Recession Faze You. Available at: https://www.dimensional.com/us-en/insights/long-term-investors-dont-let-a-recession-faze-youRensburg van J. G. J., Vuuren van G. Evaluating Investment Decisions Based on the Business Cycle: A South African Sector Approach // Cogent Economics & Finance. – 2020. – Vol. 8. – N 1. – P. 1–24.Rensburg van J. G. J., Vuuren van G. Evaluating Investment Decisions Based on the Business Cycle: A South African Sector Approach. Cogent Economics & Finance, 2020, Vol. 8, No. 1, pp. 1–24.Shu Y., Yu Ch., Mulvey J. M. Dynamic Asset Allocation with Asset-Specific Regime Forecasts. – URL: https://www.researchgate.net/publication/381470797_Dynamic_Asset_Allocation_ with_Asset-Specific_Regime_ForecastsShu Y., Yu Ch., Mulvey J. M. Dynamic Asset Allocation with Asset-Specific Regime Forecasts. Available at: https://www.researchgate.net/publication/381470797_Dynamic_Asset_Allocation_ with_Asset-Specific_Regime_ForecastsSugozu I. H., Yasar S., Verberi C. The Relationship between Long-term Portfolio Investments and Growth in the Context of Asset Characteristics and Development Level // Borsa Istanbul Review. – 2023. – Vol. 23. – N 1. – P. 34–43.Sugozu I. H., Yasar S., Verberi C. The Relationship between Long-term Portfolio Investments and Growth in the Context of Asset Characteristics and Development Level. Borsa Istanbul Review, 2023, Vol. 23, No. 1, pp. 34–43.The Global 60/40 Portfolio: Steady as It Goes. – URL: https://corporate.vanguard.com/content/corporatesite/us/en/corp/articles/global-60-40-portfolio-steady-as-it-goesThe Global 60/40 Portfolio: Steady as It Goes. Available at: https://corporate.vanguard.com/content/corporatesite/us/en/corp/articles/global-60-40-portfoliosteady-as-it-goesThe Role of Broad Commodities in a Portfolio. – URL: https://www.wisdomtree.eu/-/media/eu-media-files/other-documents/research/portfolio-insights/portfolio-insightsbroad-commodities.pdf?sc_lang=en-gbThe Role of Broad Commodities in a Portfolio. Available at: https://www.wisdomtree.eu/-/media/eu-media-files/other-documents/research/portfolio-insights/portfolio-insights-broad-commodities.pdf?sc_lang=en-gbVeerhoek J. P. The Value of Corporate Cash Holdings during the COVID-19 Pandemic // Applied Economics. – 2024. – Vol. 56. – N 53. – P. 6821–6838.Veerhoek J. P. The Value of Corporate Cash Holdings during the COVID-19 Pandemic. Applied Economics, 2024, Vol. 56, No. 53, pp. 6821–6838.

The authors declare that there are no conflicts of interest present.