MULTI-OBJECTIVE OPTIMISATION OF BANK SECURITIES PORTFOLIOS KHURSHIDJON TILLAYEV

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.