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Method of diversification of temporarily spare capital of an enterprise

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Category: Economy and management

Last Updated on 19 February 2013

Published on 16 November 2012

Hits: 4356

Authors:

I.M. Pistunov, Dr. Sci. (Tech.), Professor, State Higher Educational Institution “National Mining University”, Professor of the Department of Economic Cybernetic and Information Technology, Dnipropetrovsk, Ukraine

A.I. Tkachova, State Higher Educational Institution “National Mining University”, Student, Dnipropetrovsk, Ukraine

Abstract:

The purpose of the work is determination of expediency of temporarily free funds investment in short-term projects, namely, speculating at the foreign exchange market and identification of the most profitable real soft currencies against USD and development of economic-mathematical model of foreign exchange portfolio optimization.

Research methods. Initial data about value of currencies relative to grivnya for considered period was analyzed to ensure its adequacy for further calculations. Using the economic-mathematical model the earnings yield of each currency and the most profitable portfolio of currency providing maximum profit were found out. The risk-to-income model (1), developed by one of the authors [5] was used for portfolio calculation. According to the results of calculations the most and least favorable currency exchange and the optimal portfolio for speculating at the foreign exchange market were identified.

The composition of optimal (most profitable) portfolio of currency for the researched period was determined.

The profitableness of the optimal portfolio is 0.0011 or 0.11% with minimal risk 8.2855. Most favorable for investment for the period are Latvian Lats: their yield is 0.0025 or 0.25%.

Evaluation of the results. Investment of temporarily free funds in short-term projects is appropriate, as it may be profitable. Risk-to-income model can be applied in practice for the calculation of the optimal portfolio composition and the profitableness of each currency.

References:

1. Бойко В.В. Економіка підприємств України: Навч. посібник / Бойко В.В. – Дніпропетровськ: НГУ, 2005. – 535с.

Boyko, V.V. (2005), Ekonomika pidpryiemstv Ukrainy [Economic of Ukrainian enterprises] Tutorial, Natsionalnyi hirnychyi universytet, Dnipropetrovsk, Ukraine, 535 p.

2. Форекс – Вікіпедія [Електронний ресурс] / Режим доступу: URL: http://uk.wikipedia.org/wiki
“Foreks” – Wikipedia, awailable at: http://uk.wikipedia.org/wiki

3. Національний банк України [Електронний ресурс] / Режим доступу: URL: http://www.bank.gov.ua.
Natsionalnyi bank Ukrainy [National Bank of Ukraine], awailable at: http://www.bank.gov.ua.

4. Маржа – Вікіпедія [Електронний ресурс] / Режим доступу: URL: http://uk.wikipedia.org/wiki.
“Marzha” [Margin] – Wikipedia, awailable at: http://uk.wikipedia.org/wiki.

5. Пістунов І.М. Оптимальні рішення в інвестиційному проектуванні: Навч. Посібник / Пістунов І.М., Пістунова К.І. – Дніпропетровськ: НГУ, 2007.– 108 с.

Pistunov, I.M., Pistunova, K.I., 2007, Optymalni rishennia v investytsiinomu proektuvanni [Rational Dessisions in Investment Planning] Tutorial, Natsionalnyi hirnychyi universytet, Dnipropetrovsk, Ukraine, 108 p.

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