Decision-making support system for managing portfolios of energy saving projects at energy-intensive enterprises
DOI:
https://doi.org/10.15588/1607-6761-2022-4-3Keywords:
decision support system, portfolio management, model Harry Markowitz, Sharpe coefficient, energy saving, energy-intensive enterprisesAbstract
Purpose. Development of a software complex based on decision-making methods for managing a portfolio of energy-saving projects at energy-intensive enterprises.
Methodology. To solve the problem of managing project portfolios, Markowitz's portfolio theory of financial investments was chosen, which allows for the most profitable distribution of portfolio risk and performing income assessment using optimization methods. In combination with this theory, it was determined to use the methods of finding the maximum Sharpe ratio, as well as the minimum volatility based on a data package of randomly generated portfolios.
Findings. As a result of the work performed, a software system was developed, which has in its functionality the automatic download of a data package of selected shares for the specified period of time from the electronic resource, generates a random portfolio and performs its optimization by maximizing the Sharpe ratio and minimizing the volatility of the portfolio. Also, the program has the ability to display the results of optimization of the generated portfolio in the form of tables and graphs.
The decision support system for managing portfolios of energy-saving projects was considered through its generalization to methods of optimizing investment portfolios, but taking into account the specifics of the subject area.
The software complex was tested on a data set of share prices in energy-intensive enterprises. Graphical data and tables obtained as a result of system operation allow the program user to evaluate fully the created energy saving project portfolio.
Originality. The developed software system combines right away several methods, namely: methods of optimizing an investment portfolio according to Markowitz's portfolio theory, methods of finding the maximum Sharpe ratio and methods of finding minimum volatility. This solution allows you to use the system to solve a wide range of tasks.
Practical value. The completed development makes it possible to optimize conveniently the investment portfolios for various assets, which makes it possible to use the development of energy saving project portfolio management in energy-intensive enterprises. Also, the system can serve as a basis for such developments.
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