Investment Strategies Determined by Present Value Given as Trapezoidal Fuzzy Numbers

Krzysztof Piasecki , Joanna Siwek

Abstract

In 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.
Author Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
, Joanna Siwek - Adam Mickiewicz University (UAM)
Joanna Siwek,,
-
Pages189-213
Publication size in sheets1.2
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 Polishrozmyta nieprecyzyjność, probabilistyczna niepewność, stopa zwrotu, oczekiwany czynnik dyskontowy
Keywords in Englishfuzzy imprecision; probabilistic uncertainty; return rate; expected discount factor, portfolio
DOIDOI:10.1007/978-3-030-21274-2_14
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 23-04-2020, ChapterFromConference
Citation count*1 (2020-10-13)
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