Two-asset portfolio with triangular discrete fuzzy present values

Krzysztof Piasecki , Joanna Siwek

Abstract

The main purpose of this article is to present the characteristics of a twoasset portfolio in case of present value estimated by a discrete triangular fuzzy number. The benefits of owning a security are evaluated by expected fuzzy discount factor. The ambiguity risk is assessed by energy measure. The indistinctness risk is evaluated by Kosko’s entropy measure. The relationship between expected fuzzy discount factor of a portfolio and expected fuzzy discount factors of its components are shown. Analogous relationship between values of energy measure is presented. Above stated model is illustrated by means of profound numerical case study. In this way, the influence of portfolio diversification on imprecision risk is described. Obtained results may be generalized to the case of multi-assets portfolio. Since entropy measure is constant for discrete triangular fuzzy numbers, results obtained here should be generalized for the case of present value estimated by discrete fuzzy trapezoidal numbers.
Author Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
, Joanna Siwek (WIiGE / KBO)
Joanna Siwek,,
- Department of Operations Research
Pages39-46
Publication size in sheets0.5
Book Szkutnik Włodzimierz, Sączewska-Piotrowska Anna, Hadaś-Dyduch Monika, Acedański Jan (eds.): VIII International Scientific Conference: Analysis of International Relations 2017: Methods and Models of Regional Development: Conference Proceedings, 2017, Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach, ISBN 978-83-7875-369-8, 150 p.
Keywords in Englishtwo-asset portfolio, present value, triangular fuzzy number, discount factor
URL http://www.air.ue.katowice.pl/2017/pdf2017/6_Piasecki_Siwek.pdf
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 16-04-2020, ChapterFromConference
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