Risk-oriented diversification of investment portfolios of financial institutions

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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