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Optimization of the Structure of the Investment Portfolio of High-Tech Companies Based on the Minimax Criterion

Author

Listed:
  • Alex Borodin

    (Department of Finance, Plekhanov Russian University of Economics, 117997 Moscow, Russia)

  • Manuela Tvaronavičienė

    (Vilnius Gediminas Technical University (Vilnius Tech), LT-10223 Vilnius, Lithuania
    Institute of Humanities and Social Sciences, Daugavpils University, LV-5401 Daugavpils, Latvia)

  • Irina Vygodchikova

    (Department of Differential Equations & Mathematic Economics, National Research Saratov State University, Named after N. G. Chernyshevsky, 410012 Saratov, Russia)

  • Galina Panaedova

    (Department of Tax Policy and Customs Affairs, North-Caucasus Federal University, 355017 Stavropol, Russia)

  • Andrey Kulikov

    (Department of Organization of Medical Provision and Pharmacoeconomics, I.M. Sechenov First Moscow State Medical University (Sechenov University), 119991 Moscow, Russia)

Abstract

A model has been developed for the optimization of the share structure of an investment portfolio in high-tech projects supported by the leaders of the leading industry companies in Russia. Several indicators (financial leverage, integrated rating of companies, industry rating) were applied in the decision support system for the shared distribution of investments. High-tech production is based on innovative technologies for saving resources, the resiliency of systems for transporting and transferring raw materials and finished products within Russia, so the main income will remain within the country. It is possible to export high-tech products, rather than raw materials, which will increase export revenues. Investors will invest in high-tech projects of Russian companies, taking into account the targeting of investment development. The guarantee is the stable financial position of the companies and the competitiveness rating. Methods: The authors propose a new approach that does not contradict modern rating scales, based on a hierarchical rating procedure and fuzzy logical rules that allow you to build an integral rating in the form of portfolio shares from the whole. A higher share shows an indicator of the higher investment attractiveness of companies. The industry rating is obtained based on the principle of the company’s first affiliation to the highest rating indicator. The final minimax portfolio is based on the initial ratings in a circular convolution and is then adjusted by industry. A software package has been compiled that allows the testing of the method of capital allocation between investment projects for the largest companies’ leaders of high-tech industries in Russia. This software uses the author’s method of multi-stage analysis, the evaluation of financial coefficients, the integral ranking and the correction of the solution taking into account the industry attributes. Results: The results are presented with computer-aided design (CAD) in the form of an algorithmized decision support system (DSS). The CAD system is based on a hierarchical algorithm, based on the use of a multi-level redistribution of investment shares of high-tech companies, taking into account the adaptation to the requirements of the return on investment portfolio. When compiling the portfolio, the minimax optimality criterion is applied, which allows the stabilization of the risk by purposefully redistributing funds between the companies involved in the analysis. The authors of the article have compiled an algorithm for the software implementation of the model. Features of the rating approach: the use of the author’s mathematical apparatus, which includes a hierarchical analysis of the ranked indicators of the financial and economic activity of companies, taking into account their priority, and the use of a minimax approach to obtain a rating assessment of companies, taking into account the industry attributes. Development: The proposed approach should be used for targeted financing of large industry companies engaged in the implementation of high-tech projects.

Suggested Citation

  • Alex Borodin & Manuela Tvaronavičienė & Irina Vygodchikova & Galina Panaedova & Andrey Kulikov, 2021. "Optimization of the Structure of the Investment Portfolio of High-Tech Companies Based on the Minimax Criterion," Energies, MDPI, vol. 14(15), pages 1-11, July.
    • Handle: RePEc:gam:jeners:v:14:y:2021:i:15:p:4647-:d:605758
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    References listed on IDEAS

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