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Two-Asset Portfolio – Case of Present Value Given as a Trapezoidal Fuzzy Number
Abstract
The article includes an analysis of a multiple asset portfolio, paying special attention to an imprecision risk, burdening the component instruments. The imprecision of decision premises is modeled in the imprecisely stated present value of portfolio assets, given subjectively by the investor in the form of trapezoidal fuzzy numbers. Next, for each asset and consisting portfolio we define imprecision measures appointed based on a fuzzy discounting factor. Analyzed theoretical model takes into account not only rational premises of a decision, but also allows for an inclusion of behavioral, technical and technological factors. During the performed research, relations between imprecision risk measures of assets and portfolio were found. Imprecision risk assessments are computed based on energy and entropy measures. Also, a case study is given, presenting mechanics of the model and methods of calculating risk measures. Performed analysis led to formulating some conclusions about the form and behavior of imprecision risk burdening a portfolio.
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DOI: http://dx.doi.org/10.17951/h.2017.51.5.293
Date of publication: 2017-12-22 12:02:56
Date of submission: 2017-04-20 17:21:18
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