Optimization of intra-firm lending in divisions of hierarchical production structure with the criteria of playing with nature

The article deals with the actual problems of developing an instrumental complex of economic and mathematical models and numerical methods for optimal management of investment activities of structural units of a large hierarchical production structure (vertically integrated holding), taking into account co-financing from a centralized company’s mutual fund. In conditions of equal access of holding companies to sources of intra-firm loans, it is necessary to use the correct tools for ranking them by efficiency and risk. To develop this tool, the authors have proposed using the theory of «games with nature», as well as game’s criteria. The «playing with nature» algorithm applying the Wald-savage synthetic criterion developed by L. Labsker is considered as the main one in the formation of the priority queue of holding divisions applying for intra-firm lending from centralized sources. As an indicator of the effectiveness of intra-firm lending, the indicator of the company’s capital return is proposed in results of investment activity of the assessed structural unit. The practical implementation of the developed models and methods, carried out at the facilities of JSC «Siberian coal and energy company», indicated its validity to the selection of the priority sequence of structural units of a vertically integrated holding from the perspective of centralized funding from company’s sources.