Multiple asset portfolio with present value given as a discrete fuzzy number

Joanna Siwek


The article presents an analysis of a multiple asset portfolio with imprecise present value modelled by a discrete fuzzy number. In existing literature, the imprecision burdening a portfolio is usually modelled by given fuzzy return rates. The rates are assumed to include imprecision of information used by investor to make a financial decision, that is data which may possibly be faulty or incomplete. In the presented paper imprecision is understood as ambiguity and vagueness of information, and stems from investor’s subjectivity as well as technical and technological premises. Previous research shows, that measures of ambiguity and vagueness should be calculated for discount factors rather than for return rates from a portfolio. Means of appointing the measures and some interesting conclusions about the relationship between portfolio construction and imprecision are stated throughout the paper. Finally, numerical example presenting model characteristics and exemplary calculation of portfolio fuzzy discount factor is given.
Author Joanna Siwek (WIiGE / KBO)
Joanna Siwek,,
- Department of Operations Research
Publication size in sheets0.5
Book Pražák Pavel (eds.): 35th International Conference Mathematical Methods in Economics MME 2017 : Conference Proceedings, 2017, Gaudeamus, University of Hradec Kralove, ISBN 978-80-7435-678-0, 896 p.
Keywords in Englishportfolio, fuzzy number, present value, imprecision
Languageen angielski
Score (nominal)15
Score sourceconferenceIndex
ScoreMinisterial score = 15.0, 26-11-2019, ChapterFromConference
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