On return rate estimated by intuitionistic fuzzy probabilistic set

Krzysztof Piasecki

Abstract

In general case return rate is defined as a function of present value(PV)and future value(FV). The FVisburdened withrisk of quantified uncertainty. A formal model of this uncertainty is to present the FV as a random variable. On the other side, it is fully justified by economic reasonsthat imprecisely assessed PV may be described as intuitionistic fuzzy subset.Then the return rate is determined asintuitionistic fuzzy probability set. Then return risk consists of quantified uncertainty risk, imprecision risk and knightian risk. The quantified uncertainty risk is characterized in usual way as variance of distribution of precisely determined return rate. Subsequently the expected return rate is estimated as intuitionistic fuzzy set. Its membership function is the image of imprecision risk. Imprecision is composed of ambiguity and indistinctness. The ambiguity risk is evaluated by energy measure. The indistinctness risk is characterized by entropy measure. The hesitation function of expected return rate can be interpreted as an image of knightian uncertainty. As a result, knightian uncertainty risk may be rated by indeterminacy measure. This way, four-dimensional image of risk is introduced. This perception of risk endangering a securitywill lead to the formulation of new approaches to risk management.
Author Krzysztof Piasecki (WIiGE / KBO)
Krzysztof Piasecki,,
- Department of Operations Research
Pages641-646
Publication size in sheets0.5
Book Martinčík David , Ircingová Jarmila , Janeček Petr (eds.): 33rd International Conference Mathematical Methods in Economics MME 2015 : Conference Proceedings, 2015, University of West Bohemia, Plzeň, ISBN 78-80-261-0539-8, 976 p.
Keywords in Englishreturn rate, intuitionistic fuzzy probabilistic set, knightian uncertainty, quantified uncertainty, imprecision, ambiguity, indistinctness, insolubility
Languageen angielski
Score (nominal)15
Score sourceconferenceIndex
ScoreMinisterial score = 15.0, 12-02-2020, BookChapterMatConfByIndicator
Ministerial score (2013-2016) = 15.0, 12-02-2020, BookChapterMatConfByIndicator
Publication indicators WoS Citations = 0
Citation count*4 (2020-09-18)
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