A Model of Commercial Bank Projects Portfolio Building Based on the Game Theory

Purpose of research is to study building a commercial bank project portfolio based on the game theory. The existing algorithms and models for the formation of a commercial bank project portfolio impose certain restrictions on the initial conditions, and do not take into account the differentiation of selection criteria depending on specific types of bank projects, therefore it is necessary to develop a model that takes into account the specifics of the banking business and makes it possible to find the required solutions.

Methods. A method for building a model based on the game theory allows us to determine the structure and system relationships between the components of the project portfolio and their characteristics. The article presents a formalized description of the commercial bank project portfolio model in the form of a cooperative game with a transferable utility. A detailed description of the search for the optimal distribution in the cooperative game is given. The Shapley axioms are laid down reflecting the fairness of the sharing based on the contribution of each player to the winning coalition regarding the project portfolio model.

Results. The specific features of building a model of a projects portfolio, including multicriteriality and the relationship between individual bank projects and the synergetic effect of their joint implementation are revealed. In general, the task of building a project portfolio of a commercial bank is to maximize the expected total effect of the project portfolio implementation. The total of all portfolio projects should provide the greatest efficiency. The article describes the implementation of the proposed model of commercial bank project portfolio building through the example of real bank projects. As a result of calculations, the optimal solution of the cooperative game which is a sequence according to which bank projects will be included in a portfolio was obtained.

Conclusion. Thus, the developed and implemented in the article model of formation of a commercial bank project portfolio using the game theory allows taking into account the relationship between bank projects, the synergetic effect of their joint implementation and finding the optimal solution in terms of risk and uncertainty.

project portfolio, commercial banks, game theory, model, synergistic effect, cooperative games

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