The Problem of Choosing Criteria in Diversification Models in the Era of the Digital Economy

EasyChair Preprint no. 9394

Abstract

The subject of the research of the article is multi-criteria models of a diversified portfolio that minimize the risks that arise in the era of the digital economy when managing retail chains. The aim of the work is to analyze the problem of choosing criteria in the corresponding multicriteria or vector diversification problems. The article examines the advantages of introducing an additional criterion of entropy maximization into the criteria of the classical two-criteria model of portfolio theory, which characterizes the degree of diversity of the portfolio composition. A complex combination of methods of classical portfolio theory and multicriteria optimization is applied. The results include a comparison of three methods for solving the following problems: criteria convolution, successive concessions, and computer simulation of the Pareto set. Conclusions: the results obtained will be useful for automating the risk management of retail chains

Keyphrases: Entropy, multicriteria problem, optimal portfolio, Pareto set, problem convolution of criteria

@Booklet{EasyChair:9394,
  author = {Anna Bakurova and Alla Savranskaia and Mark Shevchuk and Elina Tereschenko},
  title = {The Problem of Choosing Criteria in Diversification Models in the Era of the Digital Economy},
  howpublished = {EasyChair Preprint no. 9394},

  year = {EasyChair, 2022}}