On portfolio analysis using oriented fuzzy numbers for the trade-related sector of the Warsaw Stock Exchange

Anna Łyczkowska-Hanćkowiak () and Aleksandra Wójcicka-Wójtowicz ()

Operations Research and Decisions, 2023, vol. 33, issue 4, 155-170

Abstract: Oriented fuzzy numbers are useful in portfolio management since they convey information regarding uncertainty and imprecision when considering financial markets. One may apply a fuzzy discount factor and an imprecise present value in the form of a trapezoidal oriented fuzzy number. An investor can obtain recommendations on individual stocks (buy, sell, accumulate, reduce). Analogous recommendations are also issued by experts. In such cases, recommendations are mostly based on available data and expert’s knowledge and experience. The purpose of the paper is to present a procedure for comparing the accuracy of both types of recommendations. Also, the real impact the recommendations have on potential changes in portfolio composition in trading-related industries is considered. The research uses quotations from companies from the trading sector of the Warsaw Stock Exchange (WSE). Theoretical considerations are presented in the form of an empirical case study.

Keywords: oriented fuzzy numbers; recommendations; portfolio analysis; imprecision; fuzzy discount factor (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ord.pwr.edu.pl/assets/papers_archive/ord2023vol33no4_9.pdf (application/pdf)

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:wut:journl:v:33:y:2023:i:4:p:155-170:id:9

DOI: 10.37190/ord230409

Access Statistics for this article

More articles in Operations Research and Decisions from Wroclaw University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Adam Kasperski ().