Imprecise Return Rates on the Warsaw Stock Exchange

Krzysztof Piasecki

Abstract

The return rate in imprecision risk may be described as a fuzzy probabilistic set [Piasecki, 2011a]. On the other side, in [Piasecki, Tomasik 2013] is shown that the Normal Inverse Gaussiandistribution is the best matching probability distribution of logarithmic returns on Warsaw Stock Exchange. There will be presented the basic properties if imprecise return with the Normal Inverse Gaussian distribution of future value logarithm. The existence of distribution of expected return rate is discussed. All obtained results may be immediately applied for effectiveness analysis at risk of uncertainty and imprecision [Piasecki, 2011c].
Author Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
Journal seriesMetody Ilościowe w Badaniach Ekonomicznych, ISSN 2082-792X, e-ISSN 2543-8565, (B 9 pkt)
Issue year2014
VolXV
No1
Pages153-158
Publication size in sheets0.5
Keywords in EnglishNormal Inverse Gaussian distribution, uncertainty risk, imprecision risk, fuzzy present value
URL http://qme.sggw.pl/wp-content/uploads/MIBE_T15_z1.pdf#page=153&view=Fit
Languageen angielski
Score (nominal)9
Score sourcejournalList
ScoreMinisterial score = 8.0, 13-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 9.0, 13-12-2019, ArticleFromJournal
Citation count*2 (2020-07-30)
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