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The paper considers the issues of forming a package of a number of investment projects that form the maximum value of a certain efficiency criterion: m/σ. For works of similar content, but with a slightly different criterion for the formation of the package, the Nobel Prizes in economics were awarded in the middle of the last century to American scientists Markovitz and Tobin. In the known results of these economists, a correlation matrix of the dependence of the indicators of the projects used was assumed, which is interesting from a theoretical point of view, but not feasible in practice. The proposed formula for the participation of projects in the package being formed did not assume the possibility of adding a new project’s participation without recalculating the entire portfolio formed earlier. In the proposed approach, another optimality criterion is formulated and a procedure for considering an additional project is proposed without recalculating the already formed portfolio, which increases the effectiveness of calculations. Visual computer calculations confirming the effectiveness of the procedure for 2 and 3 of the projects under consideration are presented. The main disadvantage of the practical application of all statemets of portfolio formation tasks is the assumption of linearity of the characteristics of the projects under consideration, which is not a real possibility. The continuation of the research can be the selection of the optimal portfolio of projects, taking into account the discrete values of the performance criteria of the portfolios under consideration using dynamic programming methods. |
