Optimization of Multi-Currency Deposit Structure by Two Indicators (Income and Risk) under Uncertainty

Abstract

A two-criteria vector optimization problem – finding Pareto-optimal solutions in linear systems with interval uncertainty of coefficients – is considered. The problem of resource allocation to multiple activities is investigated. The uncertainty-adjusted income is a bilinear function, linear by strategy under fixed uncertainty and by uncertain parameters under fixed strategy. Guaranteed income is a linear function of variables and guaranteed risk is a piecewise linear function. Finding the optimal guaranteed risk is reduced to a linear programming problem by piecewise linear programming methods. To solve the two-criteria problem of the optimal allocation of financial resource on three currency deposits, the parameterization of the Pareto set by the value of the guaranteed income criterion is applied. Thus, the construction of a representative subset of Pareto-optimal solutions is reduced to solving a finite number of linear programming problems. The results can be used in analyzing the problems of financial management under conditions of incomplete information.