MOLIYAVIY BOZORLARDA RISK TAHLILI: DISPERSIYA VA KORRELYATSIYA KO'RSATKICHLARI ASOSIDA
Ключевые слова:
risk, dispersiya, standart og'ish, variatsiya koeffitsiyenti, korrelyatsiya, diversifikatsiya, investitsiya portfeli, Sharp koeffitsiyenti, Value at Risk, portfel nazariyasi, fond bozori.Аннотация
Ushbu maqolada moliyaviy bozorlardagi riskni statistik ko'rsatkichlar yordamida baholash usullari tahlil qilingan. Tadqiqotning maqsadi dispersiya, standart og'ish, variatsiya koeffitsiyenti va korrelyatsiya tahlilining investitsiya qarorlarini qabul qilish va portfelni diversifikatsiya qilishdagi o'rnini haqiqiy bozor ma'lumotlari asosida ko'rsatishdan iborat. Tadqiqot metodlari sifatida o'rtacha daromad, tanlanma dispersiyasi, korrelyatsiya matritsasi, portfel riskini hisoblash, Value at Risk (VaR), Sharp koeffitsiyenti hamda korrelyatsiyaning statistik ahamiyatini t-mezon va Fisher o'zgartirishi bilan tekshirish qo'llanilgan. Tahlil AQSh moliya bozorining 2000–2025-yillardagi yillik ma'lumotlariga (S&P 500 aksiyalar indeksi, oltin va 10 yillik g'aznachilik obligatsiyalari) asoslangan bo'lib, turli tarkibli to'rtta portfel tuzilgan. Tahlil davri 2000–2002-yillardagi texnologik aksiyalar inqirozi, 2008-yilgi global moliyaviy inqiroz, 2020-yilgi pandemiya va 2022-yilgi foiz stavkalari shokini o'z ichiga oladi. Ma'lumotlar ochiq manbadan olingan. Natijalar shuni ko'rsatdiki, o'zaro bog'liqligi past aktivlardan tuzilgan portfelning riski alohida aktivlar riskining vaznli o'rtacha qiymatidan 24–39% past bo'ladi: eng kam riskli portfelda standart og'ish sof aksiya portfeliga nisbatan 2,2 baravar kam (8,17% va 17,79%), o'rtacha yillik daromad esa taxminan 20% ga pasaydi. Teng taqsimlangan portfel eng yuqori Sharp koeffitsiyentini (0,73) ko'rsatdi. Aktivlar orasidagi korrelyatsiyalar past bo'ldi (aksiya va oltin uchun +0,16, aksiya va obligatsiya uchun −0,36), biroq 26 yillik tanlamada ular 5% ahamiyatlilik darajasida noldan farq qilmadi. 2008- va 2022-yillar misolida diversifikatsiya eng chuqur yo'qotishlarni kamaytirgani, ammo to'liq himoya bermagani, normal taqsimotga asoslangan VaR esa 2008-yilgi yo'qotishni kam baholagani ko'rsatildi. Asosiy xulosa: statistik ko'rsatkichlar riskni aniq raqamlarda ifodalovchi amaliy vosita bo'lib, ularni korrelyatsiyaning ishonchliligi va inqiroz davrlari bilan birga tahlil qilish zarur. Maqolada O'zbekiston kapital bozori ishtirokchilari uchun amaliy takliflar ishlab chiqilgan, natijalar investitsiya portfelini asoslashda ishlatilishi mumkin.
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