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The portfolio problem with present value modelled by a discrete trapezoidal fuzzy number

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Listed:
  • Krzysztof Piasecki
  • Joanna Siwek

Abstract

A multi-asset portfolio in the case of its present value estimated by a discrete trapezoidal fuzzy number has been assessed. The benefits of owning a security have been evaluated according to an expected fuzzy discount factor. The ambiguity risk has been assessed by an energy measure and indistinctness risk has been evaluated by Kosko’s entropy measure. The relationship between the expected fuzzy discount factor for a portfolio and the expected fuzzy discount factors for its components has been derived. An analogous relationship between the values of the energy measure has been presented. The model has been illustrated by means of a profound numerical case study.

Suggested Citation

  • Krzysztof Piasecki & Joanna Siwek, 2018. "The portfolio problem with present value modelled by a discrete trapezoidal fuzzy number," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 28(1), pages 57-74.
    • Handle: RePEc:wut:journl:v:1:y:2018:p:57-74:id:1346
    DOI: 10.5277/ord180104
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    References listed on IDEAS

    as
    1. Piasecki Krzysztof & Siwek Joanna, 2015. "Behavioural Present Value Defined as Fuzzy Number – a New Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 15(2), pages 27-41, December.
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    8. Gutiérrez, Isabel, 1989. "Fuzzy numbers and net present value," Scandinavian Journal of Management, Elsevier, vol. 5(2), pages 149-159.
    9. Krzysztof Piasecki, 2013. "Behavioural present value," Papers 1302.0539, arXiv.org.
    10. Piasecki, Krzysztof, 2011. "Effectiveness of securities with fuzzy probabilistic return," MPRA Paper 46214, University Library of Munich, Germany.
    11. Krzysztof M. Piasecki, 2011. "Effectiveness of securities with fuzzy probabilistic return," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 21(2), pages 65-78.
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