Оптимізація структури інвестиційного портфеля у природокористуванні на підставі попарного порівняння альтернатив з урахуванням ризику невикористаних можливостей

• Дата: 2017
• Автори: Stefanyshyn, Dmytro V., Stefanyshyna-Gavryliuk, Yulija D.
• Формат: Стаття
• Мова: Ukrainian
• Опубліковано: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2017
• Теми: alternative; investment portfolio; optimization; pairwise comparison; natural resources use; risk of lost opportunities; альтернатива; инвестиционный портфель; оптимизация; попарное сравнение; природопользование; риск неиспользованных возможностей; інвестиційний портфель; оптимізація; попарне порівняння; природокористування; ризик невикористаних можливостей
• Онлайн доступ: http://journal.iasa.kpi.ua/article/view/93507
• Назва журналу: System research and information technologies

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.