caerCentral Asian Economic ReviewCentral Asian Economic Review2789-43982789-4401Университет Нархоз10.52821/2789-4401-2026-2-140-152caer-1781Research ArticleИНВЕСТИЦИИ, ФИНАНСЫ И УЧЕТINVESTMENT, FINANCE AND ACCOUNTINGРиск-ориентированная диверсификация инвестиционных портфелей финансовых институтовRisk-oriented diversification of investment portfolios of financial institutionsБазарбаевА. О.BazarbayevА. О.

г. Алматы

Almaty

КожахметоваМ. К.KozhakhmetovaM. K.

г. Алматы

Almaty

ШерзатовК. А.SherzatovK. A.

г. Алматы

Almaty

НАО «Университет нархоз»КазахстанNAO "Narxoz University"KazakhstanCaspian UniversityКазахстанCaspian UniversityKazakhstan20262406202602140152Copyright © Базарбаев А.О., Кожахметова М.К., Шерзатов К.А., 20262026Базарбаев А.О., Кожахметова М.К., Шерзатов К.А.Bazarbayev А.О., Kozhakhmetova M.K., Sherzatov K.A.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://caer.narxoz.kz/jour/article/view/1781

Цель исследования – развитие и практическое обоснование риск-ориентированной диверсификации инвестиционных портфелей финансовых институтов на основе современных методов управления рисками с учетом экстремальных рыночных колебаний.

Методология – в исследовании применены методы современной портфельной теории, риск-ориентированные модели оптимизации (Risk Parity, Hierarchical Risk Parity, Conditional Value at Risk), экономико-статистический и сравнительный анализ, а также показатели оценки эффективности инвестиционных портфелей.

Оригинальность / ценность исследования – заключается в формировании комплексного риск-ориентированного подхода к диверсификации инвестиционных портфелей финансовых институтов, основанного на сочетании современных моделей управления рисками и ориентированного на повышение устойчивости портфельных стратегий в условиях рыночной неопределенности.

Результаты исследования – доказано, что риск-ориентированные портфели демонстрируют более стабильное соотношение риск–доходность и меньшую подверженность хвостовым рискам по сравнению с классическими стратегиями.

Purpose of the research – to develop and provide practical justification for a risk-oriented diversification of investment portfolios of financial institutions based on modern risk management methods, taking into account extreme market fluctuations.

Methodology – the study employs methods of modern portfolio theory, risk-oriented optimization models (Risk Parity, Hierarchical Risk Parity, and Conditional Value at Risk), economic and statistical methods, comparative analysis, as well as performance evaluation metrics for investment portfolios.

Originality / value – the study contributes by developing a comprehensive risk-oriented approach to the diversification of investment portfolios of financial institutions, based on the integration of modern risk management models and aimed at enhancing the resilience of portfolio strategies under conditions of market uncertainty.

Findings – the results demonstrate that risk-oriented portfolios exhibit a more stable risk–return trade-off and lower exposure to tail risks compared to classical portfolio strategies.

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