Search academic texts

Information × Registration Number 0225U002033, (0122U201030) , R & D reports Title Economic and mathematical modeling of financial processes popup.stage_title Розробка економіко-математичних моделей фінансових процесів Head Ivanenko Tetiana V, Кандидат технічних наук Registration Date 14-02-2025 Organization National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" popup.description1 Research current methods of modeling financial processes, make improvements and develop new ones popup.description2 During the work, the methodology for forming an optimal investment portfolio by risk-averse investors was considered. Three main types of bonds were selected as financial instruments: government bonds of domestic loans and military bonds, municipal and corporate. The state and dynamics of the Ukrainian stock market over the past three years were studied. PFTS data on bond quotes of various issuers were collected and processed. The risk/return ratio of each type of securities was analyzed. The final yield of those bonds that are actively traded on the PFTS was calculated, the presence of cyclical fluctuations in the rate was clarified and the time series was smoothed using the moving average method. For those bonds whose liquidity is low, the final yield was calculated as the interest rate at which the discounted value of the cash flow generated by the bond would be equal to its purchase price, taking into account taxation. A mathematical model of investment portfolio optimization has been developed, which is a nonlinear mathematical programming problem. The objective function of the problem is the portfolio return taking into account the covariance of bond prices. The constraints assume an inverse relationship between the risk of a security and the share of invested funds. After solving the problem, the optimal distribution of the total investment amount between bonds of different types and the value of the maximum expected portfolio return are obtained.  Product Description popup.authors Ivanenko Tetiana V popup.nrat_date 2025-02-14 Close