Mathetical problem of banking assets diversification

Authors

DOI:

https://doi.org/10.17721/1812-5409.2021/1.11

Keywords:

mathematical model, optimal investment, stock portfolio

Abstract

In article we consider a problem of optimal investment strategy by a commercial bank building. This task is actual and the development of a procedure to solve it can help in making investment banking decisions. The general formulation of the problem consists of two criteria. The first one is to maximize the expected return, and the second is to minimize the risk of the investment transaction. Mathematical formulation of the problem is considered as a problem of nonlinear programming under constraints. The procedure for solving such a two-criteria optimization problem allows to obtain many solutions, which requires further steps to make a single optimal solution. According to the algorithm proposed in the work, the problem is divided into two separate problems of single-criteria optimization. Each of these tasks allows to obtain the optimal values of the investment vector both in terms of its expected return and in terms of investment risk. Additional constraints in the mathematical formulation of the problem, make it possible to take into account factors that, from the point of view of the investor, may influence decision-making. The procedures presented in this work allow to obtain analytical representations of formulas that describe the optimal values of the investment distribution vector for both mathematical formulations of the problem.

Pages of the article in the issue: 85 - 88

Language of the article: Ukrainian

References

SHARPE, W., ALEXANDER, G. and BAILEY, J. (1995) Investments. New Jersey: Prentice Hall.

GARASHCHENKO, F., KULYAN, V. and RUTITSKAYA, V. (2005) Quality analysis of mathematical models of investment management: Cybernetics and computing engineering. 148. p. 3-10.

GARASHCHENKO FEDIR, KULIAN VICTOR, PETROVICH VALENTINA and YUNKOVA OLENA (2016) Simulation of the Dynamics and Diversification of Stock Portfolio. Journal of Automation and Information Sciences. - New York, Connecticut. - v. 48, issue 7. - P. 28-40.

No 1 (2021)

Downloads

Published

2021-06-16

How to Cite

Kulian, V. R., & Yunkova, O. O. (2021). Mathetical problem of banking assets diversification. Bulletin of Taras Shevchenko National University of Kyiv. Physical and Mathematical Sciences, (1), 85–88. https://doi.org/10.17721/1812-5409.2021/1.11

Issue

No. 1 (2021)

Section

Computer Science and Informatics

License

Authors who publish with this journal agree to the following terms:

  1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
  2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
  3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).