Two-Asset Portfolio with Triangular Fuzzy Present Values—An Alternative Approach

Krzysztof Piasecki and Joanna Siwek ()
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Joanna Siwek: Poznan University of Economics and Business

A chapter in Contemporary Trends in Accounting, Finance and Financial Institutions, 2018, pp 11-26 from Springer

Abstract: Abstract The basic tool for apprising the financial portfolio is a return rate. The main purpose of this article is to propose an alternative approach to presentation the characteristics of a to-asset portfolio in case of present value estimated by a triangular fuzzy number. For this case we justify the thesis that the expected discount factor is more convenient tool for profit analysis than expected return rate. Fuzzy expected discount factor for a portfolio and estimations of imprecision risk for that portfolio are calculated. As a result, the influence of portfolio diversification on imprecision risk is described.

Keywords: Two-asset portfolio; Present value; Triangular fuzzy number; Discount factor (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-72862-9_2

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DOI: 10.1007/978-3-319-72862-9_2

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