Optimization of the investment portfolio in natural resources use based on pairwise comparison of alternatives taking into account the risk of lost opportunities

Authors

DOI:

https://doi.org/10.20535/SRIT.2308-8893.2017.3.10

Keywords:

alternative, investment portfolio, optimization, pairwise comparison, natural resources use, risk of lost opportunities

Abstract

A method of forming a set of effective portfolios and choosing the optimal structure of the investment portfolio according to the minimal risk criterion based on the pairwise comparison of alternatives taking into account the risk of lost opportunities was proposed. The problem is solved using as an example the comparison by the risk of structures of the investment portfolios, which are called the basis structures, which combine three investment directions in nature resources use taking into account three different types of decision maker's attitude toward the risk: the risk aversion, predisposition, and indifference. It is shown that in the case of three directions of investment while taking into account the risk of lost opportunities in various ways in the context of accounting for decision maker's position to the risk in general and to the risk of lost opportunities in particular, a finite set of alternative structures of efficient portfolios (alternatives) can be formed, where the optimal alternative exists that is based on the pairwise comparison according to the criterion of the minimum risk.

Author Biographies

Dmytro V. Stefanyshyn, The Institute of Telecommunications and Global Information Space of the NAS of Ukraine, Kyiv

Dmytro V. Stefanyshyn,

Doctor of Science (Eng.), the lead researcher of the Institute of Telecommunications and Global Information Space of the NAS of Ukraine, Kyiv, Ukraine.

Research interests: system analysis, analysis and assessment of risk, decision making under uncertainty and risk, reliability and safety of complicated systems, forecasting.

Yulija D. Stefanyshyna-Gavryliuk, The Institute of Telecommunications and Global Information Space of the NAS of Ukraine, Kyiv

Yulija D. Stefanyshyna-Gavryliuk,

a Ph.D. student at the Institute of Telecommunications and Global Information Space of the NAS of Ukraine, Kyiv, Ukraine.

Research interests: system analysis, decision making under uncertainty and risk, safety of nature resources use.

References

Zhurovs'kyj M.Z. Stalyj rozvytok u hlobal'nomu i rehional'nomu vymirakh: analiz za danymy 2005 r. / M.Z. Zhurovs'kyj. — K.: Politekhnika. — 2006. — 84 s.

Bidjuk P.I. Doslidzhennja staloho rozvytku makroekonomichnykh protsesiv v Ukrayini / P.I. Bidjuk, V.Ja. Danylov, Joshio Matsuoki // Systemni doslidzhennja ta informatsijni tekhnolohiyi. — 2015. — № 3. — S. 84–97.

Stefanyshyn D.V. Metodolohichnyj pidkhid do obgruntuvannja protyzsuvnykh zakhodiv z vrakhuvannjam ryzyku / D.V. Stefanyshyn, I.V. Trokhymova, O.M. Trofymchuk // Ekolohichna bezpeka ta pryrodokorystuvannja: zb. nauk. prats'. — KNUBA, ITHIP NANU, 2010. — Vyp. 6. — S. 5–20.

Drozd I.P. Kontseptsija pryjnjatnoho ryzyku ta problemy zabezpechennja tekhnohennoyi bezpeky v Ukrayini / I.P. Drozd, A.S. Okhota // Ekolohichna bezpeka ta pryrodokorystuvannja: zb. nauk. prats'. — KNUBA, ITHIP NANU, 2011. — Vyp. 7. — S. 82–108.

Vitlins'kyj V.V. Ekonomichnyj ryzyk: ihrovi modeli / V.V. Vitlins'kyj, P.I. Verchenko. — K.: KNEU, 2002. — 446 s.

Stefanyshyn D.V. Metod formuvannja investytsijnoho portfelja v pryrodokorystuvanni z vrakhuvannjam ryzyku nevykorystanykh mozhlyvostej / D.V. Stefanyshyn, Ju.D. Stefanyshyna // Ekolohichna bezpeka ta pryrodokorystuvannja: zb. nauk. prats'. — KNUBA, ITHIP NANU, 2012. — Vyp. 9. — S. 201–212.

Rejmers N.F. Prirodopol'zovanie: slovar'-spravochnik / N.F. Rejmers. — M.: Mysl', 1990. — 637 s.

Moroz O.V. Optymal'ne upravlinnja ekonomichnymy systemamy v umovakh nevyznachenosti ta ryzyku / O.V. Moroz, A.V. Matvijchuk. — Vinnytsja: UNIVERSUM-Vinnytsja, 2003. — 177s.

Jastrems'kyj O.I. Osnovy teoriyi ekonomichnoho ryzyku / O.I. Jastrems'kyj. — K.: ArtEk, 1997. — 248 s.

Bernstajn P. Protiv bogov: Ukroschenie riska / P. Bernstajn; per. s angl. — M.: ZAO "Olimp-Biznes", 2000. — 400 s.

Sjavavko M.S. Matematychne modeljuvannja za umov nevyznachenosti / M.S. Sjavavko, O.M. Rybyts'ka. — L'viv: NVF "Ukrayins'ki tekhnolohiyi", 2000. — 319 s.

Kuljan V.R. Pro modeljuvannja dynamiky portfelja aktsij / V.R. Kuljan, O.O. Jun'kova, M.V. Korobova // Visnyk KNU imeni Tarasa Shevchenka. Serija: fizyko-matematychni nauky, 2016. — Vyp. 1. — S. 173–177.

Stefanyshyn D.V. Vybrani zadachi otsinky ryzyku ta pryjnjattja rishen' za umov stokhastychnoyi nevyznachenosti / D.V. Stefanyshyn. — K.: Azymut-Ukrayina, 2009. — 104 s.

Stefanyshyna-Havryljuk Ju.D. Pryjnjattja rishen' u pryrodokorystuvanni z urakhuvannjam ryzyku nevykorystanykh mozhlyvostej na pidstavi poparnoho porivnjannja al'ternatyv / Ju.D. Stefanyshyna-Havryljuk, D.V. Stefanyshyn // Systemni doslidzhennja ta informatsijni tekhnolohiyi. — 2016. — № 3. — S. 51–62.

Kini R.L. Prinjatie reshenij pri mnogih kriterijah: predpochtenija i zameschenija / R.L. Kini, H. Rajfa. — M.: Nauka, 1981. — 560 s.

Mushik E. Metody prinjatija tehnicheskih reshenij / E. Mushik, P. Mjuller; per. s nem. — M.: Mir, 1990. — 206 s.

Eddous M. Metody prinjatija reshenij / M. Eddous, R. Stensfild; per. s angl. — M.: JuNITI, Audit, 1997. — 510 s.

Bejko I.V. Zadachi, metody i alhorytmy optymizatsiyi: navch. posib. / I.V. Bejko, P.M. Zin'ko, O.H. Nakonechnyj. — Rivne: NUVHP, 2011. — 624 s.

Downloads

Published

2017-09-29

Issue

No. 3 (2017)

Section

Mathematical methods, models, problems and technologies for complex systems research

License

This is an open access journal which means that all content is freely available without charge to the user or his/her institution. Users are allowed to read, download, copy, distribute, print, search, or link to the full texts of the articles in this journal without asking prior permission from the publisher or the author. This is in accordance with the BOAI definition of open access.