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

Krzysztof Piasecki and Joanna Siwek ()

Operations Research and Decisions, 2018, vol. 28, issue 1, 57-74

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.

Keywords: portfolio; present value; discrete trapezoidal fuzzy number; discount factor (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:1:y:2018:p:57-74:id:1346

DOI: 10.5277/ord180104

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