Work

Multi-objective Optimisation of Bank Securities Portfolios Khurshidjon Tillayev

Year: 2026

Type: article

Abstract: : The article substantiates the need to diversify the securities portfolios of commercial banks in Uzbekistan between government and highly reliable corporate securities using a multi-objective portfolio optimisation model (MOPO: risk – return – liquidity – correlation). More than 96% of banks’ portfolios are concentrated in government and central bank instruments, and the portfolio yield (9.0%) is well below the overall return on assets (15.1%). Using illustrative data, the study shows that with a correlation of 0.3, shifting about one third of the portfolio into investment-grade corporate bonds lowers portfolio risk by 9.3% while raising its return by 1.5 percentage points.

Source: International Journal of Management, IT, and Engineering

DOI: 10.5281/zenodo.24116075

Author: Tillaev, Xurshidjon

Institution: Tashkent State University of Economics

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

OpenAlex ID: W7225744390

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