The portfolio problem with present value modelled by a discrete trapezoidal fuzzy number

• Autorzy: Piasecki K. , Siwek J.

Identyfikatory

DOI

10.5277/ord180104

• Języki publikacji: EN

Abstrakty

EN

A multi-asset portfolio in the case of its present value estimated by a discrete trapezoidal fuzzy number has been assessed. The benefits of owning a security have been evaluated according to an expected fuzzy discount factor. The ambiguity risk has been assessed by an energy measure and indistinctness risk has been evaluated by Kosko’s entropy measure. The relationship between the expected fuzzy discount factor for a portfolio and the expected fuzzy discount factors for its components has been derived. An analogous relationship between the values of the energy measure has been presented. The model has been illustrated by means of a profound numerical case study.

Słowa kluczowe

EN

portfolio; present value; discrete trapezoidal fuzzy number; discount factor

PL

portfolio; wartość aktualna; dyskretna liczba rozmyta; współczynnik dyskontowy

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2018
• Tom: Vol. 28, No. 1
• Strony: 57--74
• Opis fizyczny: Bibliogr. 54 poz.

Twórcy

autor

Piasecki K.

• Department of Investment and Real Estate, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland

autor

Siwek J.

• Department of Investment and Real Estate, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland

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Uwagi

PL

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2018).