Fuzziness and probability for portfolio management

• Autorzy: Walaszek-Babiszewska A. , Mendecki W.
• Języki publikacji: EN

Abstrakty

EN

In the paper the portfolio of financial assets has been formulated using the fuzzy numbers idea and the statistical information concerning assets. The optimization task of the portfolio structure has been formulated for two types of fuzzy numbers. The data from Polish ma rket have been used for exemplary calculations.

Słowa kluczowe

EN

portfolio of assets; fuzzy numbers; optimization

• Wydawca: Polskie Towarzystwo Promocji Wiedzy ; Lublin University of Technology
• Czasopismo: Applied Computer Science
• Rocznik: 2006
• Tom: Vol. 2, no 2
• Strony: 93--104
• Opis fizyczny: Bibliogr. 9 poz., tab.

Twórcy

autor

Walaszek-Babiszewska A.

• Instytut Automatyki i Informatyki, Politechnika Opolska, ul. Miko ł ajczyka 5, 45-271 Opole

autor

Mendecki W.

• Energoinstal S.A., Al. Rozdzie ń skiego 188d, 40-203 Katowice

Bibliografia

• [1] JAJUGA K. T.: Investments, financial instruments, financial risk, financial engineering, (in Polish), PWN, Warszawa, 1998
• [2] KACPRZYK J.: Fuzzy sets in system analysis,(in Polish), PWN, Warszawa, 1986
• [3] KLIR G. J. YUAN BO: Fuzzy sets and Fuzzy Logic. Theory and Applications, Prentice Hall PTR, New Jersey, 1995
• [4] MANTEGNA R.N., STANLEY H.E.: An Introduction to Econophysics. Correlations and Complexity in Finance,Cambridge University Press, Cambridge, 2000
• [5] MENDECKI W.: Fuzzy models of the creation and analysis of an assets portfolio, (Master Degree Work – unpublished, in Polish), Silesian University of Technology, Gliwice, 2005
• [6] WALASZEK-BABISZEWSKA A.: Fuzzy Probability for Modelling of Particle Preparation Processes, The 4th Int. Conf. Intelligent Processing and Manufacturing of Materials, Sendai, Japan 2003; Intelligence in a Small Material World, Selected papers from IPMM-2003, Meech J. A.104 Kawazoe Y., Kumar V., Maguire J.F. (Eds.), DEStechPublications, Inc., Lancaster, Pensylwania, 2005, pp. 119 - 129
• [7] WALASZEK-BABISZEWSKA A.: Applications of Fuzzy and Probabilistic Methods in Financial Market Analyses, First Warsaw International Seminar on Intelligent Systems (WISIS 2004), Polish Academy of Sciences; Issues in Intelligent Systems. Models and Techniques, Dramiński M. Grzegorzewski P., Trojanowski K., Zadrożny S. (Eds.), book series: Problemy Współczesnej Nauki, Informatyka, Akademicka Oficyna Wydawnicza EXIT, Warszawa, 2005, pp. 263-271
• [8] YAGER R. R., FILEV D. F.: Essential of Fuzzy Modelling and Control, (in Polish), WNT, Warszawa, 1995
• [9] ZADEH L. A.: Probability Measures of Fuzzy Events, Journal of Math. Anal. Appl., 23/1968, pp. 421-427