Portfolio Formation Research Articles

Формирование оптимального кредитного портфеля с использованием нечётко-множественного подхода

The problem of profit maximization from lending to a financial organization is considered. A set of loan con-tracts forms a loan portfolio, which makes it possible to use the portfolio theory in the study of the designated problem. We will consider the formation of a loan portfolio as the formation of an investment portfolio. The problem arises of redistributing the funds of the investment portfolio in order to minimize its possible risk and maximize profitability. This problem in classical formulation can be solved according to Markowitz risk diversification. Thus, the problem of risk minimization and profitability maximization from lending to a financial institu-tion can be represented as a fuzzy mathematical programming problem, and more specifically, as a fuzzy linear programming problem. The resulting problem is solved by considering discrete α-levels and is reduced to a set of linear programming problems constructed for each of them. A clear expected optimal solution can be obtained by applying the defuzzification method, which allows you to convert a fuzzy set into a crisp number.

Islamic, ethical and conventional mutual funds: a comparative study (1990–2022)

Purpose This study aims to test mutual fund superiority, comparing the performance of 646 Islamic mutual funds with 475 ethical funds and conventional proxies. Design/methodology/approach This study uses statistical methods including paired t-statistics of independent samples, one-way Bonferroni test–analysis of variance–F-statistic for testing means equality, the chi-squared test for median equality and regression models corrected for heteroscedasticity. These methods are used to identify superiority of mutual funds and to validate the significance of the results. Findings The findings confirm the superiority of conventional funds over ethical funds and ethical funds over Islamic funds. Both ethical and Islamic funds, however, outperform conventional proxies during some recessionary periods. Moreover, stronger performance is recorded for Islamic funds in Europe and North America regions and across age and asset allocation categories, but limited support for reversal fund size, composition focus and reversed price effect. Research limitations/implications These findings should assist investors when deciding to invest and motivate Islamic and ethical funds to improve their portfolio formation and asset allocation strategies set by their professional managers. Originality/value The originality of this study is in its comprehensive approach in that it compares the performance of funds after accounting for such characteristics as fund objectives, size, age, asset allocation, geographical investment focus, fund composition focus, share price levels and the effect of global crises. This study approach is not only original and productive in documenting Islamic funds’ performance for the past three decades (1990–2022) but can also update the literature on these characteristics collectively and individually.

Stock Portfolio Analysis of Agribusiness Companies on Indonesia Stock Exchange

Stock portfolio analysis is the analysis conducted by diversifying or selective combining shares in investment, with a portfolio of risks to be minimized. The purpose of this study is to find out the formation of optimal portfolios using the Capital Asset Pricing Model (CAPM) model approach and Arbitrage Pricing Model (APT). With both models, an investor will be able to find out the composition of stocks, especially shares of companies engaged in agribusiness, as well as directly to find out the proportion of each stock and its risks and benefits arising from the formation of the portfolio. The results showed that by using the CAPM and APT models in the calculation of the formation of optimal portfolios in stocks excange Agribusiness, produces a portfolio with stocks composision 3 froms, namely AALI, TBLA and UNSP. APT model approach shows a greater value than the CAPM models, the highest return value can be generated is 14.088% while that may happen is losses -0268% while the CAPM models yield the highest return rate of 5.74% and the losses will be experienced by -14.54 %. significant difference in outcome is caused from the different assumptions of the models above. From these results should be expected investors to take investment decisions of agribusiness firms stocks in the Indonesia Stock Exchange with respect to the results obtained from the approach to the CAPM and APT models, in addition to the results obtained from both models are also investors give the attention of fundamental and technical factors companies that investors are not wrong and more confident in make investment decisions.

Determination of Optimal Stock Portfolio Return by Single Index Model (Case Study on Banking Sector Stocks in Indonesia)

The optimal portfolio is a portfolio chosen by investors from the many options available in the collection of efficient portfolios. To get the optimal proportion, which is the maximum return and minimum risk, it is necessary to analyze the stocks to be selected in the investment model. The research objective is to determine the optimal return, risk, and proportion for each banking stock portfolio in Indonesia in the period February - July 2023. The method used is the Single Index Model. The process of determining the optimal proportion of stocks with the Single Index Model requires stock and market return data as the main basis for applying this method. This study involves the formation of an optimal portfolio of daily closing prices of 46 banking stocks. As a result of this research, there are 5 optimal stocks that meet the criteria for optimal portfolio formation with each fund proportion of 21.43% (BNII), 13.52% (BDMN), 35.02% (BBRI), 23.69% (BTPN), and 6.34% (BBCA). Expected return from optimal stocks is 0.152% and the risk that will be borne by investors is 0.0011% per day.

EvoFolio: a portfolio optimization method based on multi-objective evolutionary algorithms

Optimal portfolio selection—composing a set of stocks/assets that provide high yields/returns with a reasonable risk—has attracted investors and researchers for a long time. As a consequence, a variety of methods and techniques have been developed, spanning from purely mathematics ones to computational intelligence ones. In this paper, we introduce a method for optimal portfolio selection based on multi-objective evolutionary algorithms, specifically Nondominated Sorting Genetic Algorithm-II (NSGA-II), which tries to maximize the yield and minimize the risk, simultaneously. The system, named EvoFolio, has been experimented on stock datasets in a three-years time-frame and varying the configurations/specifics of NSGA-II operators. EvoFolio is an interactive genetic algorithm, i.e., users can provide their own insights and suggestions to the algorithm such that it takes into account users’ preferences for some stocks. We have performed tests with optimizations occurring quarterly and monthly. The results show how EvoFolio can significantly reduce the risk of portfolios consisting only of stocks and obtain very high performance (in terms of return). Furthermore, considering the investor’s preferences has proved to be very effective in the portfolio’s composition and made it more attractive for end-users. We argue that EvoFolio can be effectively used by investors as a support tool for portfolio formation.

Research on Optimization of Investment Portfolio in the New Energy Vehicle Industry Chain

The urgent environmental problems caused by global climate change have propelled the rise of the new energy vehicle industry. Nations and business are also focusing on the research and promotion of this industry. Due to the fast development, investors face both promised investment opportunities and complicated challenges. Against this backdrop, a vital issue, which is how to choose the optimal investment portfolio to achieve the maximum possible return while experience the lowest possible risk, arises. This paper collects the closing price of stocks from 5 companies in different sectors of the new energy vehicle industry, with the period from 19 August 2022 to 18 August 2023 and then computes the variance of closing price and average return of the stocks, finally uses the COVAR function in excel to obtain the covariance matrix. After processing the data, the paper applies the Markowitz mean-variance model to obtain the optimal portfolio formation. Results show that this industry may not be a good choice for investors currently since all three portfolios show negative returns, while the negativity do not completely negate the long-term potential of this industry as the development of the industry can be influenced by various factors. It is therefore to conduct deeper research to better understand the industry dynamics and future trend.

Determination of Optimal Portfolio by Calculating Transaction Costs using Genetic Algorithms on the Jakarta Islamic Index

The optimal portfolio is a portfolio that can provide maximum returns at the same level of risk. In investing, the term "high return, high risk" is known, meaning that the higher the return, the higher the risk. Therefore, investors need to develop an optimal portfolio to obtain the maximum return on investment at the same level of risk. This study aims to determine the optimal formation of a stock portfolio by calculating transaction costs using the genetic algorithm method on stocks that are members of the Jakarta Islamic Index. This research uses data of daily return on stocks included in Jakarta Islamic Index from 1 August 2020-1 August 2022. The dataset consists of two variables: the date of observation and daily stock returns. The method used in this study is the minimum variance method and the genetic algorithm. Data analysis was divided into two stages: model formulation and model testing through case studies. The analysis of optimal portfolio formation using genetic algorithms shows that in terms of performance, the minimum variance portfolio is superior to the genetic algorithm portfolio, as indicated by the Sharpe ratio value. Meanwhile, the genetic algorithm portfolio is superior to the minimum variance portfolio regarding transaction costs. The genetic algorithm portfolio can provide a fairly high total return, small transaction costs, and good performance compared to the minimum portfolio. Hence, the genetic algorithm portfolio is worthy of recommendation to investors.

PEMBENTUKAN PORTOFOLIO OPTIMAL INVESTASI MENGGUNAKAN MODEL MARKOWITZ DAN MODEL INDEKS TUNGGAL PADA ASET BEBAS RISIKO DAN ASET BERISIKO

Optimal Portfolio is one way that can be used to determine stock portfolios that generate large returns with the smallest risk. The purpose of this study is to determine the optimal portfolio of risk-free assets and risk assets using the Markowitz Model, Single Index Model and portfolio performance by comparing the resulting rate of return and risk. The research sample used was LQ 45 shares listed on the Indonesia Stock Exchange from August 2014 to July 2019. The sampling technique used was purposive sampling technique, namely the selection of data based on certain criteria in order to obtain a sample of 29 listed companies. The method used is to use the Markowitz Model, the Single Index Model and portfolio performance. From the optimal portfolio formation based on the Method, there are 9 shares included in risk free assets and 20 shares included in risk assets. The results of the analysis show that by using the Single Index Model the return from the optimal portfolio produced is higher than using the Markowitz Model, as well as the risk generated on the Single Index Model is smaller than using the Markowitz Model both on risk-free assets and risk assets, this is assured with the results obtained from portfolio performance.

МАРКЕТИНГОВЫЕ РЕШЕНИЯ ПРИ УПРАВЛЕНИИ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ КОММЕРЧЕСКОГО БАНКА

Investments occupy an important place in ensuring the financial stability and efficiency of a commercial bank. Marketing analysis of the stock market makes it possible to make a management decision on the formation of an optimal investment portfolio. This helps to provide competitive advantages over other credit institutions and expand its share in the financial market. The development of marketing activities is carried out taking into account the formation of a financial strategy and ensuring profitability from active operations. The obtained data on the dynamics of sectors of the economy make it possible to form a strategy for investing profitable organizations. The structure of the investment portfolio changes under the influence of ongoing changes in the economic and financial activities of business entities. Consistent optimization of the investment portfolio is related to the financial activities of the commercial bank and is determined by the phases of development of operational work.

CONCEPTUAL PRINCIPLES OF FORMATION OF A PORTFOLIO OF PUBLIC PARTICIPATION PROJECTS

Abstract. The relevance of the research topic is determined by the need for improvement and further development of methodological approaches to the management of project portfolios, in terms of the formation of the latter based on the issues of public participation project management. The subject of the research is the methods, models, mechanisms and standards of project portfolio formation, considered in the context of public participation project portfolio formation. The object of research is the process of managing public participation projects. Research methodology. The research was conducted according to the practice of managing public participation projects in the territorial communities of cities - regional centers - of Ukraine, as well as the city of Kyiv in 2016–2021. The method of scientific identification and comparative analysis was used in the formation of the conceptual basis of the research, as well as in the analysis of scientific works; when developing the concept of forming a portfolio of public participation projects - abstract-logical method, case method; with the development of models for determining the optimal composition of the portfolio of public participation projects - the method of integer programming, methods of evaluating the effectiveness of investment projects, the concept of the value of money over time. Keywords: project management, project portfolio, management of project portfolios, portfolio-oriented management, public participation projects, public project, public budget.

Devising a multi-project approach to the formation of portfolios for restoration and development of territories within the concept of strategic investments and development packages of the STINBALEF project

This work relates to devising an approach to the formation of portfolios of restoration and development projects of territories. The object of research is the processes of development and restoration of territories. The subject of the study is the process of forming portfolios of development and restoration projects. The problem being solved is to devise an approach to the formation of project portfolios focused on the processes of development and restoration of territories. The peculiarities of the organization of the processes of development and restoration of territories have been defined. It is shown that development and restoration projects are usually associated with the need to create many related products. Therefore, a multi-project approach was determined as the main one for the formation of portfolios of restoration and development projects of territories. A method to form multi-project portfolios using the cost-benefit concept has been developed. It is proposed to use the value created by the products of the sub-projects for the population of the territories as benefits. A multi-project planning model was built, taking into account the cause-and-effect relationships between individual sub-projects. A feature of the model is that the products of subprojects are the object of planning. Vector analysis was used to determine the value of individual products, which makes it possible to establish the order of their creation in accordance with the cause-and-effect relationships between them. The approach, method, and model were practically validated within the framework of actual scenarios of infrastructure development of the Košice Self-Governing Region on 4 classes of multi-projects, which were divided into sub-projects and were successfully implemented. The devised approach, method, and model could be used to solve the tasks necessary for the restoration of the territories in Ukraine

ATTRACTING INNOVATIVE ARTIFICIAL INTELLIGENCE TOOLS TO THE CRYPTOCURRENCY MARKET

The purpose of the article is to conduct a study and determine the importance and benefits of using artificial intelligence (AI) tools for certain areas of the cryptocurrency market, in particular, detecting and preventing fraud in the cryptocurrency market, as well as the possibilities of using AI chatbots in trading and in the formation of investment portfolios. The article covers the analysis of the growth of digital currencies and the increasing number of hacker attacks, defines the role of AI in ensuring security, considers methods of fraud detection and prevention, and analyses development prospects. AI plays a crucial role in identifying suspicious transactions and preventing fraud. The study aims to investigate the benefits and potential risks of AI bots. AI's integration has transformed the market, enabling more informed decision-making, improved investment strategies, and higher returns. The article emphasizes the need for ongoing research into the evolving landscape of AI in cryptocurrency, discussing challenges, and the potential to finance sphere. The integration of AI in fraud detection has proven advantageous, enabling real-time data analysis and pattern recognition, enhancing security for investors. The article also addresses concerns such as algorithmic bias and the displacement of traders and using AI chat bots. While acknowledging the risks, it highlights the positive impact of AI on efficiency, reliability, and security in the cryptocurrency marketThe article presents an algorithmisation of the possibilities and procedures for engaging artificial intelligence in the fight against fraud, as well as recommendations for market participants and regulators. The presented results highlight the existing innovative potential of AI to improve the security and efficiency of the functioning of participants in the cryptocurrency market. Overall, the article suggests that AI's transformative influence in the cryptocurrency market is a game changer, shaping the industry's future and presenting opportunities for growth and innovation.

STRUCTURAL APPROACH TO THE FORMATION OF THE BANK'S INDUSTRIAL LOAN PORTFOLIO ON THE BASIS OF SUSTAINABLE DEVELOPMENT

In bank-centred economies, banks are the leading financial institutions, and therefore the implementation of the principles of sustainable development through the instruments of "green" and "sustainable" finance depends on them. Given the historical links between banks and industrial capital, and the modern role of banks in the development of industrial enterprises, the question of taking into account the principles of sustainable development in bank lending to industrial enterprises as subjects causing catastrophic damage to the environment becomes particularly relevant. The purpose of the article is to provide a methodological substantiation of the peculiarities of taking into account the principles of sustainable development in the formation of a bank's industrial loan portfolio. To achieve this goal, the following tasks were solved: to clarify the criteria for taking into account the principles of sustainable development in the formation of the bank's industrial loan portfolio; to propose a structural approach to the formation of the bank's industrial loan portfolio on the basis of sustainable development. The methodological basis of the study is a synthesis of theoretical and practical research in the field of green and sustainable finance. Practical implications. The results of the study show that it is expedient to deepen the development of sustainable lending to industrial enterprises, since the concept of sustainable development is broader than green financing and includes all aspects of sustainable development – environmental, economic and social. Value/ Originality. The article clarifies scientific approaches to the definition of the concept of "sustainable development", identifies key principles of sustainable development, reveals financial aspects of implementation of the principles of sustainable development in the socio-economic life of society and substantiates the expediency of introducing the principles of sustainable development in bank lending to industrial enterprises. The criteria for taking into account the principles and goals of sustainable development in the formation of the bank's industrial loan portfolio are clarified and a structural approach to the formation of the industrial loan portfolio on the basis of sustainable development is proposed.

Project Portfolio Management in a Multi-project Environment

Creating a portfolio of projects is an important scientific and practical task that applies to all areas of human activity, and the field of information technology is no exception. Research has shown that there are multiple approaches to solving this task, each characterized by certain features. Known methods of resource allocation have been analyzed, classified, and shown to be primarily related to linear programming problems, resource distribution matrices, or based on empirical knowledge. The project portfolio formation model was presented as a fuzzy problem of integer linear programming. A structural approach was used to depict the functioning principles of the system and information flows. An analysis was conducted, and development tools were selected. The outcome of the work resulted in a prototype of the software. Further research will focus on verifying the system's performance and constructing related modules.

Credibilistic portfolio optimization with higher-order moments using coherent triangular fuzzy numbers

Financial portfolio formation is usually a multi-objective decision-making problem concerning return and risk on the investment. In this study, we make use of an extension of regular triangular fuzzy numbers, known as coherent triangular fuzzy numbers, to describe portfolio returns in a credibility-based framework. The paper’s novelty lies in proposing and deriving a crisp equivalent for computing the coherent triangular fuzzy number-based credibilistic semivariance, credibilistic skewness, and credibilistic semikurtosis. Utilizing these analytical expressions, along with additional formulations found in existing literature, we present three multi-objective portfolio optimization models involving the practical constraints related to investment decisions. All the proposed analytical expressions, when used with the returns of the portfolio as a whole, help to overcome the computationally expensive process of simulating results using the returns of individual assets. The proposed models differ with respect to different risk measures, viz. semivariance, Mean-Absolute-Semi-Deviation (MASD), and Conditional Value-at-Risk (CVaR). These models are solved using an adaptation of an efficient Multi-Objective Genetic Algorithm (MOGA) specifically designed to solve portfolio optimization problems with practical constraints. Data from the National Stock Exchange (NSE) in Mumbai, India and the New York Stock Exchange (NYSE) in New York, USA, are used to demonstrate the effectiveness of the proposed portfolio optimization models and solution methodology. All the proposed models are compared with respect to each other and the benchmarks considered in this study to bring out the performance stability.

OVERVIEW OF THE PET FOOD MARKET IN UKRAINE

The article defines the peculiarities of the development of the world pet food market. The current state of the pet food market in Ukraine and the world is analyzed, the main market participants and their advantages are highlighted. The results of a sociological survey of Ukrainians on the question of which pets they keep are presented. It was found that 79% of respondents keep cats as pets, and 61% - dogs. The characteristics of the 5 leaders according to the "Top 101 manufacturers of pet food" according to the results of 2020-2021 are given. Mars, Nestle, Ralston Purina, H. J. Heinz, Hill's, etc. are the largest suppliers of compound feed for pets on the world and Ukrainian markets. Data on the dynamics of the global feed market and growth rates based on the results of 2020-2023 are presented. Experts predict that the growth of the compound feed market for pets is facilitated by the stable economic growth predicted in many developed and developing countries, by 2027 the volume will already reach $534.36 billion with an average annual growth of 7.6%. Among the domestic producers of pet food, the main producer is the company "Kormotekh", which produces both dry and wet compound feed for pets. The main advantages and disadvantages of wet compound feed for pets are given. Analyzed changes in the cost of the main fodder and additives for the production of compound feed for pets for the years 2020-2023, as well as the average prices for wet compound feed for pets depending on the class as of 2023, which are within the range of UAH 124...470/kg. The main factors affecting the formation of a solid base for the production of fodder for animals of domestic origin are highlighted. The trends were analyzed and the main directions of further development were determined. It was determined that the existence of many unanswered questions creates an objective necessity for the study of the domestic pet food market and the formation of demand for it. It has been established that the development of a proposal for the formation of a market portfolio of domestic producers of pet food will contribute not only to improving the level of competitiveness of existing enterprises in the industry, but also to the emergence of new domestic enterprises.

Overlapping portfolio holdings and unique sources of emerging market risk

Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and markets in periods of negative returns. I provide a framework to distinguish a unique source of risk from a set of factors in the stage of portfolio formation. The framework is based on discarding duplicate positions that exceed half the portfolios in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust for the most recent financial shocks. For practitioners, the approach helps in distinguishing original investment strategies and provides opportunities for active management in emerging markets.

Analysis of the Effectiveness of Alpha Strategy for Optimized Multi-Factor Models

The emergence of ChatGPT signifies the advent of a new artificial intelligence revolution. Generative AI technologies, represented by ChatGPT, will profoundly afferct the research paradigm in finance and the systemic ecosystem of the financial industry. This study primarily focuses on the stocks within the ChatGPT concept sector of China's A-share market and investigates the effectiveness of a multi-factor Alpha stock selection strategy in this sector. Firstly, the research optimizes the Fama-French three-factor model and establishes a four-factor model. Using this optimized four-factor model, stock selection is performed within the ChatGPT concept sector, resulting in the formation of an investment portfolio. Based on backtesting, the strategy is found to be highly effective, though it requires a certain level of risk tolerance from investors. These results represent a proactive attempt to apply the Alpha strategy to the ChatGPT concept sector of China's A-share market, providing a preliminary examination of its performance characteristics and offering valuable insights for further research by subsequent scholars.

POSSIBILITIES OF USING THE BRAND PORTFOLIO STRATEGIES OF SEWING AND KNITTING INDUSTRY ENTERPRISES

The article explores the scientific and theoretical aspects of the development of branding activities of enterprises and the use of brand strategies. It is based on the specifics of the brand portfolio formation mechanisms. The results of marketing research on the use of portfolio strategies of domestic and foreign brands of enterprises of the garment industry are presented. A brand portfolio matrix has been developed taking into account the competitiveness factors of local brands. Competitiveness management strategies based on the brand portfolio matrix of garment products are proposed

Optimal Portfolio Formation Analysis vs. Single Index Model: 2018–2019 Before Crisis and 2020–21 During Crisis

This paper focuses on a portfolio comparison analysis between 30 leading board stocks and 30 development board stocks selected from the Indonesia Stock Exchange (IDX). The analysis used in this study is the single index model. The periods used in this study are 2018-2019 (before the crisis) and 2020-2021 (during the crisis). The research results concluded that the Development Board stock group generated a higher portfolio return compared to the Main Board stock group, both in the 2018-2019 period (before the crisis) and in the 2020-2021 period (during the crisis). However, even though it produces a higher portfolio return, the Development Board stock group also has a higher level of portfolio risk compared to the Main Board stock group.