The Treynor’s ratio for discount factor given as ordered trapezoidal fuzzy number

Anna Łyczkowska-Hanćkowiak , Krzysztof Piasecki

Abstract

In the article, the imprecise present value is evaluated by means of a trapezoidal ordered fuzzy number. Then expected discount factoris a trapezoidal ordered fuzzy number too. 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. This way we obtain imprecise investment recommendation given as s fuzzy subset of rating scale. Financial equilibrium criteria result from a special case of this comparison. Further in the paper, the Treynor’s Ratio criterion is generalized for the case when expected discount factor is given as ordered trapezoidal fuzzy numbe r. Obtained results show that proposed theory can be used in investment applications
Author Anna Łyczkowska-Hanćkowiak - Wyższa Szkoła Bankowa w Poznaniu
Anna Łyczkowska-Hanćkowiak,,
-
, Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
Pages31-44
Publication size in sheets0.65
Book Szkutnik Włodzimierz, Sączewska-Piotrowska Anna, Hadaś-Dyduch Monika, Acedański Jan (eds.): 11th International Scientific Conference “Analysis of International Relations 2019. Methods and Models of Regional Development. Winter Edition”. Conference Proceedings, 2019, Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach, Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach, ISBN 978-83-7875-521-0, [978-83-7875-520-3], 118 p.
Keywords in Englishimprecision, uncertainty, ordered fuzzy number, expected discount factor , investment recommendation
URL https://air.ue.katowice.pl/pdf/2019a/3_Lyczkowska.pdf
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 12-03-2020, ChapterFromConference
Citation count*1 (2020-07-30)
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