Analysis of the criteria selection problem in diversification models

Abstract

The digitalization of the economy reduces the cost of doing business by automating the relevant processes, but any transformation creates new risks and economic instability. Economic instability leads to a drop in the standard of living and, as a result, negatively affects the activities of trade enterprises. Small and medium businesses are especially sensitive to any changes. The decrease in demand for most everyday goods has a painful effect on the activities of small and medium-sized businesses and leads to the emergence of new risks. These risks have a significant impact on reducing the profitability of enterprises. Therefore, it is important for each enterprise to diversify the activities of the enterprise, which includes the expansion of the product range, the reorientation of sales markets and the optimal distribution of goods between divisions of one enterprise. The subject of the article is multi-criteria models of a diversified portfolio that minimize the risks that arise in the era of the digital economy when managing retail chains. To formalize the problem, five models are proposed that differ in vector objective functions, both in the quantity and quality of the selected criteria. The aim of the work is to analyze the problem of choosing criteria in the corresponding multicriteria or vector diversification problems. The article examines the advantages of introducing an additional criterion of entropy maximization into the criteria of the classical two-criteria model of portfolio theory, which characterizes the degree of diversity of the portfolio composition. A complex combination of methods of classical portfolio theory and multicriteria optimization is applied. The results include a comparison of three methods for solving the following problems: criteria convolution, successive concessions, and computer simulation of the Pareto set. Conclusions: the results obtained will be useful for automating the risk management of retail chains. The practical value is that the obtained results of real data for the network have demonstrated the possibility of using the developed tool for automatic allocation of resources in the form of pareto-optimal portfolios in order to minimize risks.