On the problem of diversifying the ruble
Keywords:
uncertainty, risk, outcome, maximin, Nash equilibrium, deposit diversification
Abstract
The problem of allocating a certain amount in rubles to a ruble deposit and to a given number of foreign currency deposits is considered in order to obtain the maximum income in rubles at the end of the storage period. It is assumed that the person making the decision does not know the exchange rates at the end of the storage period and is guided only by certain limits of their possible changes.The solution of this problem depends on the choice of the principle of optimality. A solution guaranteed by the outcomes and the Nash game solution are found. It is shown that the problem of finding a risk-guaranteed solution is a linear programming task. For some special cases, a risk-based solution is analytically found.
References
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2. Belskikh J.A., Zhukovskiy V.I., Smirnova L.V. Method of guaranteed distribution of available funds in two deposits, Taurida Journal of Computer Science Theory of Mathematics, 2016, no. 4, pp. 59-67 (in Russian).
3. Vysokos M.I., Zhukovskii V.I., Kirichenko M.M., Samsonov S.P. A new approach to multicriteria problems under uncertainty, Vestn. Udmurt. Univ. Mat. Mekh. Komp'yut. Nauki, 2017, vol. 27, issue 1, pp. 3-16 (in Russian). DOI: 10.20537/vm170101
4. Zhukovskiy V.I., Vysokos M.I. Guaranteed in outcomes and risks solution for single-criterion problem, Scientific Notes of Taurida National V.I. Vernadsky University. Series: Physics and Mathematics Sciences, 2014, vol. 27, no. 1, pp. 198-210 (in Russian).
5. Zhukovskiy V. I., Akhrameev P.K. Guaranteed on risk solution in problem of sum distribution in to thee deposits (in ruble, dollars and euros), Scientific Notes of Taurida National V.I. Vernadsky University. Series: Physics and Mathematics Science, 2014, vol. 27, no. 1, pp. 177-197 (in Russian).
6. Zhukovskii V.I., Soldatova N.G. On the problem of diversification of contribution on the three deposits, Vestn. Udmurt. Univ. Mat. Mekh. Komp'yut. Nauki, 2013, issue 4, pp. 55-61 (in Russian). DOI: 10.20537/vm130406
7. Pshenichny B.N. Vypuklyi analiz i ekstremal'nye zadachi (Convex analysis and extremal problems), Moscow: Nauka, 1959, 550 p.
8. Vorob'ev N.N. Osnovy teorii igr. Beskoalitsionnye igry (Fundamentals of game theory. Uncooperative games), Moscow: Nauka, 1984, 496 p.
Received
2018-05-05
Published 2018-05-20
Published 2018-05-20