Abstract
Oriented fuzzy numbers are a convenient tool to manage an investment portfolio as they enable the inclusion of uncertain and imprecise information about the financial market in a portfolio analysis. This kind of portfolio analysis is based on the discount factor. Thanks to this fact, this analysis is simpler than a portfolio analysis based on the return rate. The present value is imprecise due to the fact that it is modelled with the use of oriented fuzzy numbers. In such a case, the expected discount factor is also an oriented fuzzy number. The main objective of this paper is to conduct a portfolio analysis consisting of the instruments with the present value estimated as a trapezoidal oriented fuzzy number. We consider the portfolio elements as being positively and negatively oriented. We test their discount factor. Due to the fact that adding oriented fuzzy numbers is not associative, a weighted sum of positively oriented discount factors and a weighted sum of negatively oriented factors is calculated and consequently a portfolio discount factor is obtained as a weighted addition of both sums. Also, the imprecision risk of the obtained investment portfolio is estimated using measures of energy and entropy. All theoretical considerations are illustrated by an empirical case study.
Subject
Physics and Astronomy (miscellaneous),General Mathematics,Chemistry (miscellaneous),Computer Science (miscellaneous)
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献