The portfolio problem with present value modelled by a discrete trapezoidal fuzzy number
Journal Title: Operations Research and Decisions - Year 2018, Vol 28, Issue 1
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
Authors and Affiliations
Krzysztof PIASECKI, Joanna SIWEK
Keywords
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- EP ID EP452398
- DOI 10.5277/ord180104
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