Senior Lecturer, Department of Management and Computer Science in Technical Systems, Orenburg State University

The urgency of the problem under study is due to the growing interest in investing in our country, the emergence of new tools and more profound methods and tools for analyzing and forecasting profitability.

The purpose of the study is to improve the method of forming the investment portfolio based on the identification of the distribution law.

The paper calls into question the a priori use of the standard deviation of the price as an indicator of volatility, and proposes the identification of the distribution law to which the asset price and the calculation of volatility as a parameter of the scale of the corresponding distribution are submitted. Based on this, it is proposed to revise the structure of the investment portfolio, calculated by the ratio «profitability / volatility» and the formation of a new structure, taking into account the identification carried out.

The analysis showed that of the five instruments used, prices for only two of them are subject to normal distribution. For the remaining instruments, their own distribution laws were selected and a new portfolio structure was formed, the income for which turned out to be higher by 2.3%.

Article materials may be useful for investors, traders and other participants of the stock market, as well as researchers in the field of investment.

Keywords: stock market, portfolio formation, calculation of volatility, identification of the distribution law.

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