Investment Strategies Determined by Present Value Given as Trapezoidal Fuzzy Numbers

Krzysztof Piasecki and Joanna Siwek ()
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Joanna Siwek: Adam Mickiewicz University

Chapter Chapter 14 in Effective Investments on Capital Markets, 2019, pp 189-213 from Springer

Abstract: Abstract In the article, the present value is considered as a trapezoidal fuzzy number, same as obtained expected discount factor. The imprecise value of this factor may be used as a decision premise in creating new investment strategies. Considered strategies are built based on a comparison of a fuzzy profit index and the value limit. In this way, we obtain imprecise investment recommendation. Financial equilibrium criteria result from a special case of this comparison. Further in the paper, the following criteria are generalized: Sharpe’s ratio, Jensen’s alpha and Treynor’s ratio. Moreover, the safety-first criteria are generalized into the fuzzy case, along with Roy’s criterion, Kataoka’s criterion and Telser’s criterion. The obtained results show that the proposed theory can be used in investment applications.

Keywords: Fuzzy imprecision; Probabilistic uncertainty; Return rate; Expected discount factor; Portfolio (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-21274-2_14

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DOI: 10.1007/978-3-030-21274-2_14

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