Geodesic
On the problem of diversifying the ruble
Izvestiya Instituta Matematiki i Informatiki Udmurtskogo Gosudarstvennogo Universiteta, Tome 51 (2018), pp. 123-135

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The problem of allocating a certain amount in rubles to a ruble deposit and to a given number of foreign currency deposits is considered in order to obtain the maximum income in rubles at the end of the storage period. It is assumed that the person making the decision does not know the exchange rates at the end of the storage period and is guided only by certain limits of their possible changes.The solution of this problem depends on the choice of the principle of optimality. A solution guaranteed by the outcomes and the Nash game solution are found. It is shown that the problem of finding a risk-guaranteed solution is a linear programming task. For some special cases, a risk-based solution is analytically found.
Keywords: uncertainty, risk, outcome, Nash equilibrium
Mots-clés : maximin, deposit diversification. 
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     author = {N. N. Petrov and N. V. Petrova},
     title = {On the problem of diversifying the ruble},
     journal = {Izvestiya Instituta Matematiki i Informatiki Udmurtskogo Gosudarstvennogo Universiteta},
     pages = {123--135},
     publisher = {mathdoc},
     volume = {51},
     year = {2018},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/IIMI_2018_51_a4/}
}
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N. N. Petrov; N. V. Petrova. On the problem of diversifying the ruble. Izvestiya Instituta Matematiki i Informatiki Udmurtskogo Gosudarstvennogo Universiteta, Tome 51 (2018), pp. 123-135. http://geodesic.mathdoc.fr/item/IIMI_2018_51_a4/