Ekonomichna kibernetyka [Economic cybernetics]

4-11

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

Purpose and subject of research This study investigates the problem of rational choice of portfolio structure using the expected utility based on Value-at-Risk. Research methodology The study used formal mathematical methods, the method of economic and mathematical modeling, methods of portfolio construction, analytical methods of research. Value results We discuss the correctness of sample estimator of rational structure weights. Specifically, we define densities of the sample estimators for main portfolio characteristics and elaborate how the densities depend on investors' risk aversion coefficient. Our empirical tests allow us to give some recommendations about the rational choice of the coefficient based on the data from PFTS Ukrainian stock exchange market. It is shown that the high values (larger than 4) of this coefficient should be avoided as well as the low values (in the neighborhood of one). Conclusions The paper examines properties of portfolio characteristics with maximum expected utility based on Value-at-Risk. The use of this risk measure in portfolio theory is fully consistent with recommendations of the main banking documents. From the theoretical point of view application of expected utility function for portfolio constructing is a generalization of the portfolio constructing problem with minimum risk and given level of portfolio return. Key words: portfolio construction, Value-at-Risk, rational structure weights, portfolio characteristics.

19-26

Authors: Vitlinskyi V.V., Koliada Y.V., Perten S.I.

Purpose and subject of research The aim of the article is to highlight the mathematical formalization basic principles of the approximate inflation kinetic models solutions, the exact solutions of which are obtained only by numerical integration. Research methodology The basis in achieving this goal is the detailed analysis of the numerical solutions integral curves, which allowed to identify and formulate changes in the behavior of numerical solution, and caused the changes in the model parameters values. Value results An approach described in the article expands the range of possibilities in the modeling of inflation processes, namely: the prediction of their quantitative level for particular conditions; the creation of alternative development scenarios; the definition of anti-inflation measures necessary to achieve the optimal rate of inflation for the economy. Approximate solutions in the analytical form based on exponential functions are offered. The estimation error of the abovementioned solutions is implemented. The formulas of the peak significance computation of the inflationary surge, which took place in the result of money supply increase, are obtained. Conclusions The approximate analytical solutions of the model are made, that facilitates the transition to the next quality level of the inflation processes development within the inflation kinetic model. Key words: kinetic models, modeling of inflation processes, money supply increase, approximate analytical solution.

31-38

Authors: Isaienko A.A., Glushchevsky V.V., Isaienko A.N.

Purpose and subject of research The actual problem of modeling of the multivariate nonstationary time series of economic dynamics is being researched for the purpose of analysis, forecasting and decision-making in financial markets. Research methodology The proposed approach to the modeling of time series is based on the methodology of multivariate analysis and continuity equation, which relates the probability density function of the state variables of the system with their speeds. Value results Equation of motion of a point in a multidimensional phase space of state variables derived under the assumption that the evolution of the economic system based on the interaction of two factors - the growth and dissipation. It is assumed that the growth rate has a deterministic function, which means that there is a causal link between variables, and the diffusion component of the velocity is proportional to the gradient of the state probabilities in a local point of phase space. In this case the state of the system is determined by multivariate Fokker-Planck equation. On the basis of two-dimensional Fokker-Planck equations is constructed model of the real economic process - trading on the stock exchange. The structure of the model equations of nonlinear responsible paradigm of financial markets and agreed with the results of empirical research. We derive differential equations for the evolution of one-dimensional distributions of prices, trading volume, and spread their moments that are needed to complete the system for the unknown probability density functions. Conclusions The evolution equations are based on sample data and agreed with the two-dimensional Fokker- Planck equation. Modeling the dynamics and forecasting of trades carried out by numerical integration of the equations of evolution in a sliding window of the sample. The proposed approach to modeling allows the best use of the information contained in the multivariate time series and to obtain high prediction accuracy. Verification of the model performed on the rows indices trading on the Ukrainian stock market. Key words: multivariate time series, Fokker-Planck equation, forecasting, stock exchange.

43-50

Authors: Babenko V.A.

Purpose and subject of research The main approaches in the identification of parameters of economic and mathematical models are considered, the problem of a posteriori identification of the dynamical model parameters of innovative process management of reprocessing agricultural enterprises is researched. Research methodology Solutions for a posteriori identification of parameters of the dynamic model of innovative process management of reprocessing agricultural enterprises propose an algorithm that reduces to the implementation of solutions of systems of linear algebraic equations, the formation of the linear regression equation and use the method of least squares. Value results An algorithm for solving the problem of a posteriori identification of parameters of the dynamic model of innovative process management of reprocessing agricultural enterprises proposed algorithm makes it possible to develop efficient numerical procedures to implement a computer simulation of the dynamics of the system of innovative process management of agricultural enterprises. Conclusions Results presented in this paper can be used for economic-mathematical modeling and solving optimization processes of forecasting and data management in a lack of information and the availability of risk, as well as for the development of appropriate software and hardware systems to support effective management decisions in practice. Key words: posteriori identification, innovation process in agriculture, economic and mathematical modeling, discrete dynamical system, the risks of agricultural production.

56-63

Authors: Serduk V.N., Zorina M.S.

Purpose and subject of research This article describes the features of strategy management of an industrial enterprise financial resources, the conditions for increasing its efficiency and proposed economic- mathematical model of the mechanism of forecasting indicators strategic financial management of an industrial enterprise, which improves the efficiency of operation of the business through improved management of financial resources , to improve the accuracy and timeliness of management decisions based on a scenario assess the economic impact of the use of different measures for financial management of an industrial enterprise. Research methodology The theoretical framework is based on the methods of system analysis to the business management of the financial sector, innovative models of financial management, modern methods of economic cybernetics. Value results The main of this model are five scenarios for allocating financial resources of the industrial enterprises in the respective activity. Conclusions According to the results of simulation experiments, we can conclude that the application of the economic-mathematical model to minimize the cost of financial resources and the value of their involvement. Addressing financial management is the foundation of efficiency, competitiveness and financial sustainability of the Ukrainian industrial enterprises. Key words: industrial enterprises, financial resources, strategies indicators, mechanism of prediction.

4-7

Authors: Ramazanov S.K.

Purpose and subject of research The article aims at research and development of an integrated model of sustainable noosphere, secure and sustainable development of socio-ecological and economic processes. Research methodology The study used formal mathematical methods, the method of economic and mathematical modeling. Value results Formal mathematical methods of nonlinear science adequate to describe, analyze and simulate the decision-making processes. The dynamics of the interaction processes and interferences (ie dynamics of synergetic processes) cognitive or emotionally modes (group of essential parameters or variables) between themselves and the emotional and cognitive events with each other can be described by a system of equations of Lotka-Volterra. Conclusions The paper proposes an innovative model of sustainable development noosphere socio-ecological-economic and humanitarian system, generalized synergetic model dynamics with uncertainties and risks.

16-21

Authors: Merkulova T.V., Bitkova T.V.

Purpose and subject of research Two modifications of a system dynamics model are developed in order to study different types of a taxpayer’s behaviour – notably, opportunistic tax evasion and soft adaptive ones. Research methodology A generic model by M. Allingham and A. Sandmo, based on “homo economicus” conception, implying that an agent is guided in his behaviour by maximization of expected utility, shows that taxpayer’s choice to evade taxes depends on tax rates and tax inspection parameters, among which the most important are the probability of inspection and penalty degree (penalty rates). Value results Computations have confirmed that with relatively low penalties and middle level of inspection opportunistic behaviour is more effective for taxpayers. When opportunistic motivation is mass-spread, this type of behaviour becomes predominant, which leads to substantial losses of the state. Such a state of tax environment is characterised by the conflict of interests of the parties: tax evasion is profitable for the agents and un-remunerative for the state. Conclusions The results of multiple experiments are discussed and comparative advantages and effectiveness of tax behaviour are analyzed regarding joint (declared + shadow) taxpayer’s income and real/net state revenue.

37-42

Authors: Gricenko K.I., Yaremenko N.S.

Gricenko K.I., Yaremenko N.S. Purpose and subject of research The purpose of research is rationale for the choice approach to valuation of financial institutions, the most appropriate in mergers and acquisitions. The object of study is the choice of approach to valuation of financial institutions in mergers and acquisitions. Research methodology The study used the methods of valuation of financial institutions that are legislated in Ukraine, namely: cost, comparative and revenue. Value results The relevance of the topic chosen is usually in the works of scholars choice approach to valuation is based on logical reasoning without the use of specialized tools for decision making. According to the National Standard number 1 "General Principles of valuation of property and property rights" in Ukraine legislated mandatory application of the income, expenditure and comparative approaches to assessing the value of any object. Therefore, the question of choice reasoned approach to the valuation of financial institutions in mergers and acquisitions are opened. Conclusions The results of the study concluded that, if necessary, to take account of mergers and acquisitions investment value of the financial institution objectives as an integrated facility and its development potential is the most appropriate evaluation procedures focus on methods of income approach. Although he has a number of shortcomings of traditional methods of valuation, however, is the most appropriate contractual M & A, takes into account the valuation of financial institutions in mergers and acquisitions and can be the basis for further research in the area of valuation of financial institutions in mergers and acquisitions.

48-54

Authors: Lysenko Y.G., Elperina E.O.

Purpose and subject of research The purpose of research is the systematization of the methodological framework for the effective innovative product promotion to market in the shortest term with the greatest economic results. Research methodology Optimization and simulation modeling, system analysis are the methodological basis of the research. Value results In the research the problem areas of innovative enterprise operation were analysed and preconditions of innovative activity were determined. Economic and mathematical models complex, that allow to increase the efficiency of the innovating product promotion process, was developed and the relations between the proposed instruments was defined. Conclusions Methodological approaches of innovating product promotion management that were proposed in the article are the basis of innovative development strategic plan developing. It allows to increase the enterprise competitive position, to expand the market segment and to attract the investments.

64-72

Authors: Zherlitsyn D. M., Lev V. M.

Purpose and subject of research The specifics of investing activity of insurance companies in Ukraine are investigated. The innovative model of strategic management for insurance company investing activity is proposed. Research methodology A theoretical framework is based on methods of system analysis in management of the insurance company development, innovative control methods in enterprise financial management, modern methods of economic cybernetics. Value results The proposed theoretical approach is used to improve the management system of financial services enterprise through the introduction of innovative methods of financial investments control. The present study provides a startingpoint for further research and development of practical skills of innovative control methods for the insurance company. Conclusions The result of the study is the author's model of the innovation strategy for the insurance company investment activity. The model considers the investmen risk, modern trends in the financial markets and the insurance market in Ukraine. The proposed approach allows increasing the efficiency and competitiveness of th insurance company activity.

80-85

Authors: Koroljov O.L., Malkov S.V.

Purpose and subject of research The purpose of this paper is the identification and evaluation of the specific risks of virtual enterprises. Research methodology To get the result riskology is used as a methodology of analysis, evaluation and management of risks in the economy, the theory of information economics in the definition of the role and place of virtual enterprise in the economic system, the methodology of risk-information service to estimate the level of risk cyberattacks. Value results The article deals with the operation of virtual enterprises in the information economy. Key findings relate to issues of risk classification of virtual enterprise, taking into account the nature of the infrastructure of the enterprise environment, justify the use of tools of virtual enterprise risk modeling and analysis of the results of the estimation of risk cyberattacks. Conclusions As a result of the study was to obtain a classification of specific risks and risk estimation method cyberattacks. The results can be used to control a virtual company, such as an online store.

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.

4-15

Authors: Lysenko Yu. G., Andrienko V. N. , Zakharchenko V. Yu.

The article explores principles of constructing the effective system of management of WEB-outsourcing. It was substantiated the necessity of monitoring of financial situation as the facility of improvement and development of resources of budget. Also the system of internet- monitoring of universitie’s financial reports was offered.

25-32

Authors: Rekova N. Yu.

In the article the feasibility of applying the system of corporate governance theory of asymmetric conflict, and the algorithm methodical approach to minimize the cost of conflict in the corporate structure and the methods of its implementation.

46-50

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

The new ecological-economic model of optimal control considering investments in productive capital, intellectual capital and environmental protection is proposed and analyzed in the article. Two states of equilibrium are particularly investigated (»golden age» equilibrium and «dark age» equilibrium).

57-62

Authors: Makoveichuk K. O.

The factors of increasing the competitiveness of enterprises have been explored; information and communication technologies that provide factors have been identified. The conceptual framework for managing the competitiveness of enterprises, in view of the stages of economic development based on the newest information and communication technologies has been proposed.

68-74

Authors: Blagodarniy A. I., Severin V. S.

In the article for the estimation of efficiency of region strategy of population cultural and educational level development due to the systematic looking after its implementation the structure of the system of monitoring of achievement of region strategy of population cultural and educational level development was offered in common information spaces which is based on the key performance indicators.

86-91

Authors: Shabelnik T. V.

The paper explores the functionality of the information systems of marketing-oriented management at the present stage of development of information technology and the tendencies of their development.