Open AccessSYSTEM OF FORMALIZED MODELS OF PORTFOLIO MANAGEMENT OF COMMERCIAL BANK PROJECTS
Author(s) -
Zlata Arturovna Usmanova
Publication year - 2019
Publication title -
vestnik astrahanskogo gosudarstvennogo tehničeskogo universiteta. seriâ: upravlenie, vyčislitelʹnaâ tehnika i informatika
Language(s) - English
Resource type - Journals
eISSN - 2224-9761
pISSN - 2072-9502
DOI - 10.24143/2072-9502-2019-3-64-72
Subject(s) - portfolio , project portfolio management , application portfolio management , task (project management) , order (exchange) , computer science , commercial bank , modern portfolio theory , it portfolio management , business , project management , finance , systems engineering , engineering
The article considers the task of building a system of models for managing a portfolio of projects of a commercial bank. A detailed description of the adopted formalization of the portfolio of a commercial bank projects is given. The methods of intelligent support for making management decisions in the formation of the commercial bank project portfolio are considered. The structure and interrelations of projects in the portfolio are determined. A comprehensive assessment of banking projects using an artificial neural network apparatus has been carried out. The peculiarities of building the order of banking projects using game theory methods, including multicriterion nature and interrelations between individual banking projects, the synergistic effect of their joint implementation are revealed. As a result of calculations, an optimal solution of a cooperative game was obtained, representing the sequence in which banking projects will be included in the portfolio. A modeling algorithm and a simulation model for forming a portfolio of projects of a commercial bank are built.