Optimization of Financial Asset Neutrosophic Portfolios

Marcel-Ioan Boloș, Ioana-Alexandra Bradea and Camelia Delcea
Additional contact information
Marcel-Ioan Boloș: Department of Finance and Banks, University of Oradea, 410087 Oradea, Romania
Ioana-Alexandra Bradea: Department of Informatics and Cybernetics, Bucharest University of Economic Studies, 010374 Bucharest, Romania
Camelia Delcea: Department of Informatics and Cybernetics, Bucharest University of Economic Studies, 010374 Bucharest, Romania

Mathematics, 2021, vol. 9, issue 11, 1-36

Abstract: The purpose of this paper was to model, with the help of neutrosophic fuzzy numbers, the optimal financial asset portfolios, offering additional information to those investing in the capital market. The optimal neutrosophic portfolios are those categories of portfolios consisting of two or more financial assets, modeled using neutrosophic triangular numbers, that allow for the determination of financial performance indicators, respectively the neutrosophic average, the neutrosophic risk, for each financial asset, and the neutrosophic covariance as well as the determination of the portfolio return, respectively of the portfolio risk. There are two essential conditions established by rational investors on the capital market to obtain an optimal financial assets portfolio, respectively by fixing the financial return at the estimated level as well as minimizing the risk of the financial assets neutrosophic portfolio. These conditions allowed us to compute the financial assets’ share in the total value of the neutrosophic portfolios, for which the financial return reaches the level set by investors and the financial risk has the minimum value. In financial terms, the financial assets’ share answers the legitimate question of rational investors in the capital market regarding the amount of money they must invest in compliance with the optimal conditions regarding the neutrosophic return and risk.

Keywords: financial assets; neutrosophic portfolio return; neutrosophic portfolios risk; optimal portfolios (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/9/11/1162/pdf (application/pdf)
https://www.mdpi.com/2227-7390/9/11/1162/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:9:y:2021:i:11:p:1162-:d:559440

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().