Arhive: #3 2011


Vector optimization technique in the problems of interaction between an enterprise and its counteragents

This paper reviews vector optimization goals related to the selection of efficient portfolios of a company's counterparties. In the first part of the research, the costs to minimize of providing goods and risk of late delivery have been selected as the optimization criteria. It is assumed that the risks are random in nature and are characterized by a random amount of damage being made to the firm due to late delivery of products. It is assumed that the amount of damage is proportional to the quantity of goods ordered. The second section is devoted to the optimization of working with bank clients through the formation of an effective portfolio of banking products. The following resources of the bank are considered as risky assets: placed interbank loans, securities (bonds, stocks, bonds), corporate loans, loans to small and medium-sized businesses, factoring and loans to individuals. Methodologically, the approach developed here is adjacent to the theory of portfolio investment, which goes back to a paper by G. Markowitz, however, this approach is applied for objects other than capital market instruments.

Keywords: vector optimization, effective portfolios of suppliers of an enterprise, portfolio investment theory, effective portfolios of bank instruments

 

References

1. Nikonov O. I., Medvedev M. A. (2008). O nekotorykh prilozheniyakh teorii portfel'nykh investitsiy [On some applications of the portfolio investments theory]. Informational and mathematical technologies in economics, technology and education: a collection of materials of the 3rd international conference. Ekaterinburg: Ural State Technical University.

2. Nikonov O. I., Medvedev M. A. (2008). Staticheskie zadachi teorii portfel'nykh investitsiy [Static goals of the portfolio investments theory]. Ekaterinburg: Bulletin of the Ural State Technical University (Economics and Management), 3(92), 72-79.

3. Nikonov O. I., Medvedeva M. A., Egiptsev D. S. (2004). Povyshenie effektivnosti sistemy sbyta produktsii. Matematicheskoe modelirovanie [Improving the effectiveness of production distribution. Mathematic modeling]. Ekaterinburg: Bulletin of the Ural State Technical University (Economics and Management), 4, 96-103.

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6. Markowitz H. (1952). Portfolio selection. J. Finance, 7, 77-91.

 

Information about the authors

Nikonov Oleg Igorevich (Ekaterinburg) - Doctor of Physical and Mathematical Sciences, Professor, Head of the Department of analysis of systems and decision-making, Dean of the Faculty of informational and mathematical technologies and economic modeling at the Federal State Autonomous Educational Institution of Higher Professional Education Ural Federal University named after the first President of Russia B. N. Yeltsin (620002, Yekaterinburg, Mira St. 19, e-mail: aspr@mail.ustu.ru).

Medvedev Maksim Aleksandrovich (Ekaterinburg) - applicant of the Department of analysis of systems and decisionmaking at the Federal State Autonomous Educational Institution of Higher Professional Education Ural Federal University named after the first President of Russia B. N. Yeltsin (620002, Yekaterinburg, Mira St. 19, e-mail: aspr@mail.ustu.ru).