Multi-Objective Optimisation of Bank Securities Portfolios Khurshidjon Tillayev

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.