Portfolio Simulation of Investment Strategies under Uncertainty
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Date
2026
Authors
Лаптєва, Катерина
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Abstract
This bachelor thesis studies investment decision-making under uncertainty. The main focus of the research is the estimation of the return and risk of individual investments, as well as the analysis of their investability. The paper examines investment projects under conditions of increased economic and security uncertainty using the example of the telecommunications, media, and technology sector in Ukraine during the full-scale war since 2022. The thesis discusses the application and extension of classical portfolio theory under unstable conditions. A scenario-based stochastic approach to portfolio return modelling based on Monte Carlo simulation is proposed. In addition, a nonlinear risk-adjusted portfolio boundary is introduced to distinguish between investable and non-investable regions of the return–risk space. Based on the obtained results, the study demonstrates how the consideration of wartime conditions and investors’ behavioural factors influences the acceptability of investments. The obtained approach can be used for the evaluation of investment projects under uncertainty, portfolio analysis in wartime and crisis markets, and utility-based investability assessment of risky projects.
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Keywords
investment risk, Monte Carlo simulation, utility function, nonlinear investability boundary, wartime economy, investment decision-making, bachelor`s thesis