Two-assets portfolio with trapezoidal fuzzy present values

Krzysztof Piasecki , Joanna Siwek

Abstract

The main purpose of the following paper is to present characteristics of a two-asset portfolio in case of present values of composing financial instruments being modelled by a trapezoidal fuzzy number. The future value is described as random variable under the Gaussian distribution of probability. The expected discount factor is defined with the use of simple return rate. Obtained model is an extension of the Markowitz theory to fuzzy case. Throughout the analysis a fuzzy expected discount factor and imprecision risk assessments are calculated. Thanks to that, there arises a possibility to describe the influence of portfolio diversification on imprecision risk. Presented theoretical inference and obtained conclusions are supported by numerical example.
Author Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
, Joanna Siwek (WIiGE / KBO)
Joanna Siwek,,
- Department of Operations Research
Pages76-84
Publication size in sheets0.5
Book Szkutnik Włodzimierz, Sączewska-Piotrowska Anna, Hadaś-Dyduch Monika, Acedański Jan (eds.): 9th International Scientific Conference: Analysis of International Relations 2018. Methods and Models of Regional Development. Winter Edition. Conference Proceedings, 2018, Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach, ISBN 978-83-7875-421-3, [978-83-7875-420-6], 198 p.
Keywords in Polishportfel, trapezoidalna rozmyta wartość bieżąca
Keywords in Englishtwo-assets portfolio, present value, trapezoidal fuzzy number, discount factor
URL https://air.ue.katowice.pl/2018a/pdf/2018a/11_Piasecki.pdf
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 24-06-2020, ChapterFromConference
Publication indicators WoS Citations = 0
Citation count*6 (2020-01-12)
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