| Issue: | 2022 №3 (79) |
| Section: | Finances, accounting and taxation |
| UDK: | 339.9 |
| DOI: | https://doi.org/10.33271/ebdut/79.114 |
| Article language: | Ukrainian |
| Pages: | 114-122 |
| Title: | Optimization of the banking products portfolio in the conditions of Fin Tech development using economic and mathematical models |
| Authors: | Shtefan N. M., Dnipro University of Technology,
Solianyk L. H., Dnipro University of Technology,
Stefanenkova Yu. S., Dnipro University of Technology |
| Annotation: | Methods. Economic and mathematical modeling was used in the process of revealing the specifics of the portfolio of banking products in Ukraine and its optimization in the conditions of Fintech development. Methods of economic and statistical analysis, nonlinear multiparameter optimization, and methods of dynamic stochastic programming were used to solve the tasks. Results. Based on the results of modeling the optimal structure of the investment portfolio, it was established that the use of a dynamic model is a fairly effective tool and allows to increase the profitability of the optimal portfolio of banking products in Ukraine. With the help of this tool, in the course of the research, a new, more optimal distribution of securities in the investment portfolio of banking products was obtained and recommendations were made to optimize its structure. Novelty. The scientific novelty of this work lies in the simplification of the dynamic model of investment portfolio formation with long planning horizons. Practical value of the research is that the innovation, namely, the simplification of the dynamic model of investment portfolio formation with long planning horizons, makes the model more accessible for use in practice. The practical significance of this work also lies in the possibility of wider use of this effective model, which will increase the profitability of the portfolio of banking products and reduce the level of portfolio risk. |
| Keywords: | Banking products portfolio, Optimization, Financial technologies, Digital transformation, Information technologies, Neobanks, Economic and mathematical models |
| File of the article: | EV20223_114-122.pdf |
| Literature: | - 1. Kasimov, Yu.F. (1998). Osnovy teorii optimalnogo portfelya tsennykh bumag. Moskva: Informatsionno-izdatelskiy dom «Filin».
- 2. Lutsiv, B.L. (2002). Investytsiynyy bankivskyy portfel. Kyiv: Libra.
- 3. Pshyk, B.I. (2003). Sytuatsiyne modelyuvannya diyalnosti banku. Lviv: LBI NBU.
- 4. Duma, L., & Burda, M. (2004). Optymizatsiya portfelya tsinnykh paperiv z nevidomymy serednimy. Proceedings from MIIM ’04: III Vseukrayinska naukova konferentsiya z finansovoho analizu studentiv ta aspirantiv. (pp. 20-22). Lviv, 19-21 kvitnya 2004.
- 5. Dombrovskiy, V.V., & Gerasimov E.S. (2000). Dinamicheskaya setevaya model upravleniya portfelem tsennykh bumag v nepreryvnom vremeni pri kvadratichnoy funktsii riska. Vestnik Tomskogo gosudarstvennogo universiteta, (269), 70-73.
- 6. Kuznetsov, D.F. (2010). Chislennoe modelirovanie stohasticheskih differencialnyh uravnenij i stohasticheskih integralov. Sankt-Peterburg: Izd-vo Sankt-Peterburgskogo un-ta.
- 7. Shklyaruk, S.G. (2000). Portfelnoe investirovanie. Teoriya i praktika. Moskva: Nora-print.
- 8. Markowitz, H.M. (1952). Portfolio Selection, Journal of Finance 7(1). March, 1952. Pp. 77-91. doi.org/10.1111/j.1540-6261.1952.tb01525.x
- 9. Markowitz, H.M. (1959). Portfolio Selection: Efficient Diversification of Investiment, Wiley, New York. doi.org/10.7202/1001620ar
- 10. Markowitz, H.M. (1990). Mean Variance Analysis in Portfolio Choise and Capital Markets, Basil, Blackwell.
- 11. Oshchadbank. Ofitsiynyy sayt. Retrieved from http://www.oschadbank.
- 12. Kredobank. Ofitsiynyy sayt. Retrieved from https://kredobank.com.ua/
|
Archive