Direct methods of evaluating alternatives as a tool formation of an investment portfolio

Abstract

Importance: forming an investment portfolio is a difficult task, since an investor has to simultaneously solve two contradictory tasks, namely, maximize profit and minimize risk. In order to minimize the risk of investing and, accordingly, when choosing the most acceptable of the possible options for the layout of securities in the portfolio, the investor solves a multi-criteria task in real time. The study adapted a model of multicriteria analysis and implemented an algorithm for ranking securities that represent elements of the Pareto set, i.e. vector incomparable alternatives. Purpose: to research, develop and demonstrate the use of multi-criteria methods and models for the comprehensive assessment of financial performance of joint-stock companies in terms of investment attractiveness for an ordinary client or investor in order to form an investment portfolio. Research design: Adaptation and application of multicriteria optimization methods in the analysis of financial data of companies based on the use of direct methods for evaluating alternatives (generalized decision rule), which allows you to obtain operational and transparent information for making managerial decisions in constantly changing business process conditions. Results: the authors presented the process of selecting risk assessment criteria and, as a result, the formation of a vector objective function, justified the choice of mathematical tools «generalized decisive rule» and demonstrated the ranking of securities in terms of increasing investment risk for the formation of a management decision on real financial market data.