Formation and forecasting of the markowitz portfolio for risks assessment in tourism

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

Cite this article:

Orlov E. (2024) Formation and forecasting of the markowitz portfolio for risks assessment in tourism. Ed.: V.V. Kovalenko (ed.-in-ch.) and others [Formuvannja ta prognozuvannja portfelja markovycja dlja ocinky ryzykiv u turyzmi; za red.: V.V. Kovalenko (gol. red.)], Scientific Bulletin of the Odesa National Economic University (ISSN 2313-4569), Odesa National Economics University, Odesa, No. 11 (324), pp.91-97.

Abstract

In this work, the diversification of the firm's tourism product was carried out in order to maximize the overall level of profitability of a tourism enterprise with a given degree of risk. The problem of constructing a Markowitz investment portfolio in the field of tourism and hotel and restaurant activities was considered. In this case, there are two types of investment portfolio formation problems: direct and inverse problems. The direct problem of constructing an investment portfolio was solved, which assumes a certain limitation of the overall risk of the tourism portfolio, while the profitability of the enterprise reaches its maximum value. The model allows you to set an arbitrary value of the total risk of the tourism portfolio. Using quadratic programming methods, the problem of constructing an optimal investment portfolio of the tourism enterprise was solved. . Solving the quadratic programming problem made it possible to identify areas of activity with a higher rate of return and a low level of risk of the investor's capital investments. The relative shares of different types of tourism activities of the firm were also predicted. The use of this approach allows us to identify those tourist destinations that are able to optimize the financial portfolio and require priority financing in terms of obtaining maximum profit. The results of the study can be used in planning the activities of real tourist enterprises for the investment activities of tourist enterprises. The developed approach can be used both in stable times and in planning investment activities in the post-war period to restore sustainable financial and economic development of business entities. In the future, the authors plan to improve the proposed model, as well as consider the application of the inverse problem of planning an investment portfolio.

Keywords

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

JEL classification:G110; C610;DOI: https://doi.org/10.32680/10.32680/2409-9260-2024-11-324-91-97

UD classification:330.322; 303.519.8

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