CAPM и Диверсификация Инвестиционного Портфеля в Условиях Неоднородной Волатильности (CAPM and Diversification of an Investment Portfolio in the Conditions of Non-Uniform Volatility)

The theory of cost of capital (long-term) assets [Sharpe, 1964, Lintner, 1965, Mossin, 1966] based on G. Markovits's model [Markovitz, 1952,1059], for many years forms base for estimated calculations in the investment analysis and corporate finance. But it implicitly means an assumption that the financial market is in a state, rather "habitual" for investors, and is substantially uniform concerning risks of the assets addressing on it. However this theory doesn't assume possibility of sudden emergence in portfolios of investors of the destructive elements significantly differing on the level of risks from other assets and therefore can mislead investors at adoption of investment decisions by them. Under certain conditions the effect of diversification of portfolios of investors can not work that will lead to sharp increase of risks and eventually uncontrollable destabilization of a situation in the market. Without possessing the due level of adaptability to such changes, the basic theory isn't capable in such conditions to give an objective assessment of assets. At the same time, technical progress accelerates processes of redistribution of the capital between the markets and assets and therefore suddenly arising destabilizing factors can play the increasing role that results in need to enter some corrections into basic theoretical constructions.In the article we recognize that when forming an investment portfolio there are two effects influencing its not systematic risk. And if the first of them – diversification – is well studied, – the inequality of specific risk of components of a portfolio – a great interest doesn't cause the second in experts. In article on empirical material and by the theoretical analysis is shown that this effect called by authors "effect of a bug in an ant hill" can significantly affect specific risk of a portfolio, its growth or decrease. The conditions allowing to achieve consistently the maximum effect of diversification of an investment portfolio at the set set of assets are also formulated