Mathetical problem of banking assets diversification

Тип публікації :
Стаття
Дата випуску :
2021
Автор(и) :
Юнькова, O. O.
Мова основного тексту :
Англійська
eKNUTSHIR URL :
DOI :
Журнал :
Випуск :
1
ISSN :
1812-5409
Початкова сторінка :
85
Кінцева сторінка :
88
Цитування :
[APA 7] Кулян, В., & Юнькова, O. O. (2021). Mathetical problem of banking assets diversification. Bulletin of Taras Shevchenko National University of Kyiv. Physics and Mathematics, (1), 85–88. https://doi.org/10.17721/1812-5409.2021/1.11
[ДСТУ] Кулян В., Юнькова O. O. Mathetical problem of banking assets diversification. Bulletin of Taras Shevchenko National University of Kyiv. Physics and Mathematics. 2021. no. 1. P. 85—88. DOI: 10.17721/1812-5409.2021/1.11 (date of access: 18.07.2026).
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
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