Savage's Solution to the Problem of Three-Currency Deposit Diversification: Program Tools and Modeling Results

Advances in Systems Science and Applications. 2024. Vol. 24. No. 2. P. 103–115.

Молоствов В. С.

This paper presents the development of computing tools for finding optimal structures of multi-currency deposits in terms of guaranteed risk under uncertain exchange rates. The approach utilizes Savage's minimax regret concept to calculate risk and guaranteed risk functions explicitly, assuming only the limits of possible changes in uncertain parameters are known.  The Excel environment implements the algorithm for calculating the optimal solution that minimizes income loss due to incomplete information. Computational experiments analyzed the dependence of the optimal guaranteed risk on problem parameters, such as interest rates of currencies and boundaries of uncertain factors. The results can be used to analyze financial management problems in conditions of incomplete information.

Ключевые слова: optimization, incomplete information, deposit diversification, minimax regret solution, Excel

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