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The portfolio interpretation of constraint’s theory by E. Goldratt

DOI: 10.34130/2070-4992-2019-4-99-107

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Kozlovsky A. N. – Candidate of Economic Scienc-es, Associate Professor, Department of Economics, Management, and General Humanities, Northwest Open Technical University, Saint-Petersburg, Russia; e-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Nedosekin A. O. – CEO, Doctor of Economics, Candidate of Technical Sciences, Academician of IAELPS,LLC «С-FINANCE, Saint-Petersburg, Russia; e-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Reishahrit E. I. – Doctor of Economics, Associate Professor, Department of Economics, Accounting and Finance, Saint-Petersburg Mining University, Saint-Petersburg, Russia; e-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Abdoulaeva Z. I. – Candidate of Economic Scienc-es, Associate Professor, Department of Design, Peter the Great Saint-Petersburg Polytechnic University, Saint-Petersburg, Russia; e-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

E. Goldratt’s theory of constraints allows organization managers to identify bottlenecks in the organization’s busi-ness processes and technologies, guided by the proportion of only three parameters: the volume of investments I, the “throughput” (gross margin) and the constant operating costs. However, this theory does not provide an answer to the question of how to optimally distribute investments in order to achieve maximum return on capital invested in the imple-mentation of organizational changes. This question is answered by the non-classical portfolio theory, which is discussed in detail in this paper.
Respectively, the best solution to the portfolio optimization problem is the gradient method, which is well established in the optimization of private equity portfolio when the traditional Markowitz optimization method becomes inapplicable. The return on invested capital (ROI) was chosen as the objective function of the optimization problem. The inventive ap-proach is demonstrated on an example.
The development of the proposed approach to the optimization of the portfolio of changes suggests that the initial data in the model can be fuzzy, then the statement of the optimization problem also becomes fuzzy. The change portfolio may contain real options; in this case, the ROI component of the portfolio will look like a fuzzy number of arbitrary kind.
As a result, the work demonstrates that Goldratt’s theory of constraints effectively complements the portfolio theory of private equity.

Keywords: throughput, financial accounting centers, return on invested capital (ROI), capital utility function, gradient.

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For citation: Kozlovsky A. N., Nedosekin A. O., Reishahrit E. I., Abdoulaeva Z. I. The portfolio interpretation of constraint’s theory by E. Goldratt // Corporate governance and innovative economic development of the North: Bulletin of the Research Center of Corporate Law, Management and Venture Capital of Syktyvkar State University. 2019. No. 4. Рр. 99–107. DOI: 10.34130/2070-4992-2019-4-99-107.