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

Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)

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 

Notes

Acknowledgements

The first author was supported by National Science Centre Poland, granted by the decision No. DEC-2012/05/B/HS4/03543. The second author was supported by National Science Centre Poland, granted by the decision No. DEC-2015/17/B/HS4/00206.

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Investment and Real EstatePoznan University of Economics and BusinessPoznańPoland

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