ADAPTIVE MANAGEMENT OF COMMERCIAL BANKS’ SECURITIES PORTFOLIOS USING EXPLAINABLE ARTIFICIAL INTELLIGENCE
Abstract
Today, the securities portfolios of commercial banks are shaped by rapid changes in interest rates, exchange rates and liquidity conditions. Although the portfolio of the banking system of Uzbekistan has expanded considerably over the past five years, its composition remains homogeneous and its income potential is not fully utilized
Downloads
References
1. Resolution of the President of the Republic of Uzbekistan No. PQ-358 of 14 October 2024 “On approval of the Strategy for the Development of Artificial Intelligence Technologies until 2030”.
2. Markowitz H. Portfolio Selection // The Journal of Finance. – 1952. – Vol. 7, No. 1. – P. 77–91.
3. Merton R.C. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case // The Review of Economics and Statistics. – 1969. – Vol. 51, No. 3. – P. 247–257.
4. Lundberg S.M., Lee S.-I. A Unified Approach to Interpreting Model Predictions // Advances in Neural Information Processing Systems 30 (NeurIPS 2017). – 2017.
5. Gu S., Kelly B., Xiu D. Empirical Asset Pricing via Machine Learning // The Review of Financial Studies. – 2020. – Vol. 33, No. 5. – P. 2223–2273.
6. Bank of England, Financial Conduct Authority. Artificial intelligence in UK financial services – 2024. – London, November 2024.
