Investment Strategies Determined by Present Value Given as Trapezoidal Fuzzy Numbers
Krzysztof Piasecki , Joanna Siwek
AbstractIn the article, the present value is considered as a trapezoidal fuzzy number, same as obtained expected discount factor. The imprecise value of this factor may be used as a decision premise in creating new investment strategies. Considered strategies are built based on a comparison of a fuzzy profit index and the value limit. In this way, we obtain imprecise investment recommendation. Financial equilibrium criteria result from a special case of this comparison. Further in the paper, the following criteria are generalized: Sharpe’s ratio, Jensen’s alpha and Treynor’s ratio. Moreover, the safety-first criteria are generalized into the fuzzy case, along with Roy’s criterion, Kataoka’s criterion and Telser’s criterion. The obtained results show that the proposed theory can be used in investment applications.
|Publication size in sheets||1.2|
|Book||Tarczyński Waldemar , Nermend Kesra (eds.): Effective Investments on Capital Markets: 10th Capital Market Effective Investments Conference (CMEI 2018), Springer Proceedings in Business and Economics, 2019, Springer, ISBN 978-3-030-21273-5, [978-3-030-21274-2], 510 p., DOI:10.1007/978-3-030-21274-2|
|Keywords in Polish||rozmyta nieprecyzyjność, probabilistyczna niepewność, stopa zwrotu, oczekiwany czynnik dyskontowy|
|Keywords in English||fuzzy imprecision; probabilistic uncertainty; return rate; expected discount factor, portfolio|
|Score||= 20.0, 23-04-2020, ChapterFromConference|
|Citation count*||1 (2020-07-05)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.