On Imprecise Investment Recommendations

Krzysztof Piasecki

Abstract

The return rate is considered here as a fuzzy probabilistic set. Then the expected return is obtained as a fuzzy subset in the real line. This result is a theoretical foundation for new investment strategies. All considered strategies result of comparison profit fuzzy index and limit value. In this way we obtain an imprecise investment recommendation. Financial equilibrium criteria are a special case of comparison of the profit index and the limit value. The following criteria are generalized here: the Sharpe's Ratio, the Jensen's Alpha and the Treynor's Ratio. Moreover, the safety-first criteria are generalized here for the fuzzy case. The Roy Criterion, the Kataoka Criterion and the Telser Criterion are also generalized. Obtained results show that proposed theory is useful for the investment applications.
Author Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
Journal seriesStudies in Logic, Grammar and Rhetoric, ISSN 0860-150X, (C 15 pkt)
Issue year2014
No37
Pages179-194
Publication size in sheets0.75
Keywords in Englishfuzzy return, fuzzy probabilistic set, management of investment
ASJC Classification1211 Philosophy
DOIDOI:10.2478/slgr-2014-0024
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 10.0, 13-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 13-12-2019, ArticleFromJournal
Publication indicators Scopus SNIP (Source Normalised Impact per Paper): 2014 = 0.299
Citation count*28 (2020-09-18)
Cite
Share Share

Get link to the record


* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
Back
Confirmation
Are you sure?