Roy's criterion determined by oriented fuzzy discount factor

Anna Łyczkowska-Hanćkowiak , Krzysztof Piasecki

Abstract

The subject of the analysis will be security with present value evaluated by ordered fuzzy number. This means that present value was estimated in an imprecise manner and supplemented by the forecast of its future changes. This present value is called oriented fuzzy present value. The discount factor of such security is ordered fuzzy number. All classic portfolio analysis methods are based on the concept of a return rate. On the other hand, the literature showed that in the case of securities with fuzzy present value, the discount factor is a better tool for portfolio analysis than the return rate. This raises the postulate of re-writing selected security management methods to equivalent methods based on discount factor. This will allow the application of these methods to the case of a security with present value evaluated by ordered fuzzy number. In this work an exemplary result of the implementation of the above postulate is presented. The main purpose of the presented article is to generalize the Roy’s criterion to the case of management of investment recommendations formulated towards security characterized by the oriented discount factor. A five-grade scale rating has been used here
Author Anna Łyczkowska-Hanćkowiak - Wyższa Szkoła Bankowa w Poznaniu
Anna Łyczkowska-Hanćkowiak,,
-
, Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
Pages31-43
Publication size in sheets0.6
Book Szkutnik Włodzimierz, Sączewska-Piotrowska Anna, Hadaś-Dyduch Monika, Acedański Jan (eds.): 12th International Scientific Conference: Analysis of International Relations 2019. Methods and Models of Regional Development. Summer Edition. Conference Proceedings, 2019, Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach, ISBN 978-83-7875-555-5, [978-83-7875-554-8], 97 p.
Keywords in Polishkryterium bezpieczeństwa, kryterium Roy'a, skierowana liczba rozmyta, zorientowany rozmyty czynnik dyskontowy
Keywords in Englishfirst safety criteria, Roy’s criterion, ordered fuzzy number, fuzzy oriented discount factor
URL https://air.ue.katowice.pl/pdf/2019b/3_Lyczkowska-Hanckowiak.pdf
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 24-06-2020, ChapterFromConference
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