Direct problem of forming a Markowitz Portfolio to optimize tourism activities

Orlov Evgeniy
PhD of Physics and Mathematical Science, Associate Professor of the Department of Statistics and Mathematical Methods in Economics, Odessa National Economic University, Odessa, E-mail: orlov_ev@onu.edu.ua, ORCID ID: https://orcid.org/0000-0002-9212-9973

Shinkarenko Volodymyr
PhD of Physics and Mathematical Science, Associate Professor of the Department of Statistics and Mathematical Methods in Economics, Odessa National Economic University, Odessa, E-mail: shinkarenko.v.n@gmail.com, ORCID ID: https://orcid.org/0000-0002-4388-3494

Shynkarenko Larysa
PhD of Pedagogical Science, Associate Professor of the Department of Management, International Humanities University, Odessa, E-mail:shinkar@te.net.ua, ORCID ID: https://orcid.org/0000-0003-3819-9003

Cite this article:

Orlov E., Shinkarenko V., Shynkarenko L. (2023) Direct problem of forming a markowitz Portfolio to optimize tourism activities. Ed.: V.V. Kovalenko (ed.-in-ch.) and others [Priama zadacha formuvannia portfelia markovytsia dlia optymizatsii turystychnoi diialnosti; za red.: V.V. Kovalenko (gol. red.)], Scientific Bulletin of the Odessa National Economic University (ISSN 2313-4569), Odessa National Economics University, Odessa, No. 9 (310), pp. 142-148.

Abstract

The purpose of the article is to analyze the investment attractiveness of certain areas of tourist activity implemented by a tourist enterprise. In this paper, economic and mathematical methods were used to evaluate the attractiveness of the firm's tourist product in order to minimize financial risks and obtain a higher level of profitability. The problem of building an investment portfolio of H. Markowitz in the field of tourism and hotel and restaurant activities is considered. At the same time, there are two types of problems of investment portfolio formation: direct and inverse problems. In this work, a direct problem is considered, in which a certain limitation of the overall risk of the tourist portfolio is assumed, while the profitability of the enterprise acquires its maximum possible value. Solving the problem of quadratic programming made it possible to identify areas of activity with a higher rate of return and a low level of riskiness of the investor's capital investments. Using this approach allows you to identify those tourist destinations that are able to optimize the financial portfolio and require priority financing from the point of view of obtaining maximum profit. In this enterprise, the entertainment, sports and elite directions of the company's tourist activity turned out to be such. The results of the study can be used in the planning of the activities of real tourist enterprises for investment activities of tourist enterprises. The developed approach can be used both in stable times and when planning investment activities in post-war times to restore sustainable financial and economic development of economic entities. In the future, the authors plan to improve the proposed model, as well as consider the application of the inverse problem of investment portfolio planning.

Keywords

hospitality industry, investment policy, portfolio theory of H. Markowitz.

JEL classification: G110, C610; DOI: 10.32680/2409-9260-2023-9-310-142-148

UD classification: 330.322; 303.519.8

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