Ekonomichna kibernetyka [Economic cybernetics]

4-15

Authors: Zabolotskyy T.N., Bodnar T.D., Vitlinskyy V.V.

Purpose and subject of research The paper is devoted to the problem on constructing an optimal portfolio with the highest expected utility in which to evaluate the risk of the portfolio is accepted VaR. In contrast to the classical method of constructing the portfolio with the expected use of quadratic utility, considered approach was not considered in scientific studies, since the use of VaR as a tool to calculate the risk of the portfolio and its construction is quite new. Research methodology The study is expected utility function of assigned based on Value-at-Risk and its application to the problem of rational choice structure of the portfolio. Value results Using the described method of constructing an optimal portfolio, particularly in banking is fully consistent with the recommendations of the Basel Committee. Using this method will allow banks to conduct transactions on the stock market under the Basel and, in addition, provided literacy restrictions, consider all the rules and limitations prescribed by law. Conclusions The paper considers a generalized and solved the problem of portfolio optimization where classical optimization condition (the sum of the portfolio weights are 1) is replaced by linear restrictions on weights.

25-32

Authors: Lyashenko I.N., Tadeev Yu.P.

Purpose and subject of research The paper treats the problem of building backbone trajectory equation Cauchy problem, where the backbone trajectory is a trajectory of maximum sustainable exponential growth equation. Research methodology This paper uses the model of Leontief "input-output" and differential equations. Value results The resulting main path should be used for economic development strategic planning. Conclusions In this paper the dynamic input-output model that takes into account the time lag construction and commissioning of new capacities. The existence of a single backbone path as the trajectory of maximum sustainable exponential growth. Based on the introduction of two hypotheses about the balance of values "consumption-production" held dual dynamic analysis model ahead of the item. Found that the line output growth and increasing prices of products are the same, the same trajectory as expressed through the right and left vectors Frobenius.

46-50

Authors: Hohlov V.Yu.

Purpose and subject of research The aim of the study is to develop a model of portfolio optimization allowance Traynor (ratio of return and systematic risk) and a corresponding algorithm. Research methodology The approach optimizing the ratio of return and risk, which was first proposed by Markowitz, but in this article instead of the full risk of the criterion of optimization and utility function for the Beta. The problem is solved by the proposed algorithm quadratic programming. Value results This study is based on the efficient market hypothesis, and that the stock market is developed and liquid. Most research in this area focused on optimizing the full risk and, in this paper we consider the systematic risk, this risk is rewarded by investors in developed markets. Optimization of the norm Traynor can be used to manage a well-diversified portfolio that is usually relevant for institutional investors. Conclusions The optimal portfolio in the area of return-beta are on convex polygons, as opposed to parabolic boundary effective in-plane yield risk. But when a large number of assets in the portfolio at a rate Traynor optimal portfolio is close to the optimum allowance Sharpe.

57-62

Authors: Sigal A.V.

Purpose and subject of research The subject of the study is to optimize the mix by changing their structure. The purpose of this article - to develop a method of choice of the optimal variant of the mixture, based on the solution of the corresponding zero-sum game. Research methodology This paper applies the game-theoretic method of choice of the optimal variant of the mixture, which allows you to find the desired structure of the optimal variant of the mixture. Value results Optimize the use of resources leads to the achievement of the best quality of a mixture that allows to stabilize the demand for these products and, consequently, makes it possible to reduce the level of economic risks faced by the manufacturer of the product. The use of such resource optimization leads to the achievement of the best quality of a mixture that can stabilize the demand for these products and, consequently, makes it possible to reduce the level of economic risks faced by the manufacturer of the product. Conclusions The article deals with the problem of creating the optimal mix and choice by changing its structure, i.e., selection of such proportions of ingredients of the mixture to the mixture itself has the best quality. In the evaluation of the quality of different options developed mixture attended by several independent experts. We propose a game-theoretic method for choosing the vector characterizing the structure of the optimal variant mixture.

68-74

Authors: Kravchenko V.N., Kuznecov V.S.

Purpose and subject of research The aim of the article is to create a conception of modelling of informative business marketing-oriented enterprise management, which allows gross revenue of informative business enterprise maximizate during all informative product life cycle. Research methodology Used the methodology of the informative business marketing-oriented enterprise management. Value results The main problem to be solved is to analysis of approaches to methodology of the informative business marketing-oriented enterprise management the complex of marketingoriented models, which engulfs the complete cycle of marketing’s measures, and can be presented as modeling informative business marketing-oriented enterprise management conception. Conclusions The paper is constructed and studied a conception of modelling of informative business marketing-oriented enterprise management.

86-91

Authors: Verstyak A.V., Nikoluk V.P.

Purpose and subject of research The subject of research is the spread of financial market factors infections. The aim of the study is to develop a special algorithm to determine the expected impact on the change in risk factors in the case of different scenarios. Research methodology Used parametric approach, the method of random scenarios, Boolean Bayesian network. Value results The model allows the use of the characteristics that affect the distribution of financial infections: changes in interest rates, oil prices, gold, changes in profitability, other indexes (S & P 500) and others. Conclusions Thus, the model stress testing reveals how financial stability at the front of forecasts and provides an understanding of the possible vulnerability. Although extreme events can not be predicted, study their impact on the effectiveness of the organization strengthens the understanding of the situation.