MULTI-CRITERIA OPTIMIZATION OJ THE REAL INVESTMENT PORTFOLIO STRUCTURE
Abstract
The article examines the optimization of the enterprise's investment policy, which is formed through the distribution of the enterprise's capital investments in the process of forming a portfolio of real investments. The description of three main types of "models" of this process is given, which are based on expert assessments, economic indicators and the distribution of the volume of capital investments. The first two types of models will be used mainly by practical managers to solve the task of setting project priorities. As for the models of distribution of capital investments, they are mainly the prerogative of systems researchers and will be used to solve the problem of optimal allocation of funds. In the review of studies on the issue of real investment portfolio optimization there are examples of the use of integer programming methods. As a rule, indicators of the efficiency of investment activities, factors of uncertainty and risks are considered as optimization criteria, taking into account market and social restrictions. The task of this study is to substantiate the choice of a mathematical model of the problem of optimizing a portfolio of real investments using a multi-criteria approach. Improvement of this process can be performed on the basis of the calculations of the control example. It is recommended to consider financial indicators taking into account the discounting of cash flows as performance indicators: net present value of the project, profitability index, internal rate of return. The overall efficiency of the investment portfolio is calculated as the sum of the net present value of the projects included in it. The system of performance indicators allows ranking investment projects according to their level of attractiveness, which makes it expedient to use a multi-criteria approach when forming a portfolio. An integer model of the optimal portfolio of real investments with a vector criterion for the maximum of the generalized additive value function of the system of project performance indicators is considered. Based on it, the calculations of the control example were performed.
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