BUSINESS INFORM №11-2016

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18

Section: Economic and Mathematical Modeling
UDC 336.467.471
Reshetnyak O. I.
Modeling the Optimal Investment Portfolio for a Non-State Pension Fund (p. 105 - 110)
The article is aimed at elaborating recommendations directed towards forming the optimal investment portfolio for a non-State pension fund, in accordance with the criterion of the minimum level of risk, determined on the basis of the fuzzy sets theory instrumentarium. A method for evaluating the risk of investing in securities has been proposed, which makes allowance only for the left-hand risks based on fuzzy sets, and models for estimation of the level of risk. Finding the optimal structure of investment portfolio is recommended to reduce down to solving a mathematical task of linear programming, where the target function will be minimizing the portfolio risk depending on its structure and the system of the limits established, in accordance with the directions of investment defined for the portfolio of a private pension fund. Characterizing the proposed model can be specified, that restrictions are comprised of the legally established types of financial tools and the availability of investment limit, while the target function minimizes the risk level determined on the basis of fuzzy sets.
Keywords: optimal investment portfolio, risk of securities, portfolio structure, fuzzy set
Fig.: 2. Tabl.: 3. Formulae: 4. Bibl.: 11.

Reshetnyak Olena I. – Doctor of Sciences (Economics), Associate Professor, Head of, Sector of Industrial Policy and Innovative Development of the Department of Industrial Policy and Energy Security, Research Centre for Industrial Problems of Development of NAS of Ukraine (2 floor 1-a Inzhenernyi Ln., Kharkiv, 61166, Ukraine)
Email: [email protected]

Article is written in Ukrainian
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Reference to this article:
Reshetnyak, Olena I. (2016) “Modeling the Optimal Investment Portfolio for a Non-State Pension Fund.” Business Inform 11:105–110.

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